I'm trying to use statsmodels' VAR(p) to forecast some data points in the future. Below is a snapshot of what my data looks like:
What I understand about VAR(p) equation in general is that when p = 3, VAR(p) will use 3 lags time to predict the future. What I'm not sure is whether it uses 3 lags time consecutively or 3 lags time at a specific time.
For example (using my data):
A. p = 3, means 2016-08-15 00:20:00, 2016-08-15 00:15:00, 2016-08-15 00:10:00
B. p = 3, means 2016-08-15 00:20:00, 2016-08-14 00:20:00, 2016-08-13 00:20:00 (same hour at different days)
Then, when it forecast the future, does it forecast the future consecutively or at same hour different days?
For example (to predict 3 data points), does VAR(p) outputs forecasted points on the following dates?
A. 2016-08-15 00:25:00, 2016-08-15 00:30:00, 2016-08-15 00:35:00
B. 2016-08-16 00:20:00, 2016-08-17 00:20:00, 2016-08-18 00:20:00
Maybe I'm just way off...I'm not sure, that's why I'm asking for clarification.
Thanks for helping.