[R] simulation in vector autoregressive model (VAR)

Aziz Mensah mensahaziz at yahoo.com
Fri Sep 4 08:53:49 CEST 2015


I have a data from 4 variables ( STOCK, CPI, EXC, and CCI) from 1980 to 2012. I want to do a forecast using VAR(12) model with a simulation of 100,000 for 5 years. And also estimate the RMSE, MAPE, and Theil Inequality. Can anyone help me with this problem in R? Thanks so much. 

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