How does the forecast function in MATLAB forecast?

I want to know how exactly the forecast method function. i.e the inside working of the function. Does it use a polynomial? What the default polynomial is? Does it use regression? I am using an AR model to forecast. Any paper on this would really prove helpful. Thanks in advance.

[Star Strider]

Which forecast method? What function are you using?

[Aditya]

the forecast function in the econometrics toolbox

[dpb]

The forecast is an evaluation of the given AR model using the fitted model results and either supplied values for the innovations and other stochastic elements. They're described in the documentation for forecast.

If you don't understand the terms, I'm no econometrics guy so don't know the other literature in the references, but will commend the daddy of all, Box and Jenkins, as the place to go to to understand enough of the modeling theory behind the implementation to be able to use it sensibly.

Answer 1

[Dhaniklal]

Hi,

I understand that you want to know about forecast function in MATLAB.

Please follow the link for documentation on forecast:

Forecast vector autoregression (VAR) model responses - MATLAB forecast - MathWorks India

Also, you may right click on the function name in editor and click on - Open “forecast”. This will open the definition of the function. It may help you understand exactly how it works. This works for any function/object in MATLAB.

Thanks,

Dhaniklal