new_contents: 
  import numpy as np
  import scikits.statsmodels.api as sm
  from scikits.statsmodels.tsa.api import VAR
  
  # some example data
  mdata = sm.datasets.macrodata.load().data
  mdata = mdata[['realgdp','realcons','realinv']]
  names = mdata.dtype.names
  data = mdata.view((float,3))
  data = np.diff(np.log(data), axis=0)
  
  model = VAR(data, names=names)
  res = model.fit(2)
  
  nobs_all = data.shape[0]
  
  #in-sample 1-step ahead forecasts
  fc_in = np.array([np.squeeze(res.forecast(model.y[t-20:t], 1))
                    for t in range(nobs_all-6,nobs_all)])
  
  print fc_in - res.fittedvalues[-6:]
  
  #out-of-sample 1-step ahead forecasts
  fc_out = np.array([np.squeeze(VAR(data[:t]).fit(2).forecast(data[t-20:t], 1))
                     for t in range(nobs_all-6,nobs_all)])
  
  print fc_out - data[nobs_all-6:nobs_all]
  
subject: add simple VAR example