make function for rolling/expanding forecasts

bdemeshev / bvarr

r package for bayesian VARs

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make function for rolling/expanding forecasts #14

Open bdemeshev opened 6 years ago

bdemeshev commented 6 years ago

option like reestimate-model-every = 5 rolls

HanjoStudy commented 6 years ago

Hi @bdemeshev,

I have developed a very simple method for rolling forecasts which can be implemented in parallel. Not a lot of error checking is done, but it still might be useful to you:

https://github.com/HanjoStudy/bvarr/blob/master/R/rolling_BVAR.R

Do note: this solution is heavy tidyverse along with a plotting function that requires ggridges