VAR - 1992::2016-12-31

prepare data for extended period.

kikan <- c("1992::2016-12-31")
v_GPC_q_1992_2016 <- merge(GDPC96[kikan],to.quarterly(UNDCONTSA[kikan])[,4])
v_GPC_q_1992_2016 <- merge(v_GPC_q_1992_2016,to.quarterly(PAYEMS[kikan])[,4])
names(v_GPC_q_1992_2016)[2] <- "UNDCONTSA"
names(v_GPC_q_1992_2016)[3] <- "PAYEMS"

> VARselect(v_GPC_q_1992_2016)
$selection
AIC(n)  HQ(n)  SC(n) FPE(n) 
    10      2      2     10 

$criteria
                  1            2            3            4            5            6            7            8            9           10
AIC(n) 2.785261e+01 2.545883e+01 2.543818e+01 2.542177e+01 2.544280e+01 2.546334e+01 2.552722e+01 2.558417e+01 2.532732e+01 2.523473e+01
HQ(n)  2.798702e+01 2.569405e+01 2.577421e+01 2.585860e+01 2.598043e+01 2.610179e+01 2.626647e+01 2.642423e+01 2.626818e+01 2.627640e+01
SC(n)  2.818592e+01 2.604212e+01 2.627145e+01 2.650502e+01 2.677603e+01 2.704655e+01 2.736041e+01 2.766735e+01 2.766047e+01 2.781786e+01

FPE(n) 1.248282e+12 1.140354e+11 1.119086e+11 1.104548e+11 1.134074e+11 1.166774e+11 1.257451e+11 1.350810e+11 1.064882e+11 9.943996e+10

This will give the predict from now to 16 quarter latter.

predict(VAR(v_GPC_q_1992_2016,la=10),n.ahead = 16)