Search found 5 matches

by srey
Wed Jan 12, 2011 9:18 pm
Forum: Econometric Discussions
Topic: Forecasting with AR errors
Replies: 6
Views: 2047

Re: Forecasting with AR errors

Thanks for the detailed explanation. By forecasted residuals, I'm assuming this means (for an AR(1) process) \hat{u}_t = \hat{\rho_1} e_{t-1} \hat{u}_{t+1} = \hat{\rho_1}^2 e_{t-1} with \hat{\rho_1} the estimated AR coefficient, e_{t-1} the estimation residual, and the forecast period beginning in t...
by srey
Mon Jan 10, 2011 10:35 pm
Forum: Econometric Discussions
Topic: Forecasting with AR errors
Replies: 6
Views: 2047

Re: Forecasting with AR errors

I assumed it was a typo as well. But, I'm still not clear since in an ex ante context where y_t is not yet observed, it would seem eviews is doing something different for \hat{y}_t from x_{t}' b. Otherwise if \hat{y}_t = x_{t}'b then clearly \hat{u}_t will be zero. So perhaps in the ex ante period t...
by srey
Mon Jan 10, 2011 2:13 pm
Forum: Econometric Discussions
Topic: Forecasting with AR errors
Replies: 6
Views: 2047

Re: Forecasting with AR errors

Thanks for the reply. I do have the 7.1 docs dated April 2, 2010. And, in my copy of the Users Guide II on page 126 after the table that follows equation 22.9 the sentence reads: "where the residuals \hat{u}_t = \hat{y}_t - x_t' b are formed using the forecasted values of y_t." I see where...
by srey
Fri Dec 31, 2010 11:23 am
Forum: Econometric Discussions
Topic: Forecasting with AR errors
Replies: 6
Views: 2047

Forecasting with AR errors

In the Users Guide II on page 126 the residuals in a dynamic forecast for a model with AR errors are said to be formed as: \hat{u}_t= \hat{y}_t - x'_t b using the forecast value of y_t. My question is, I am not sure why the forecasted residuals would not be 0 since the forecast value of y_t would be...
by srey
Mon Aug 02, 2010 8:32 pm
Forum: Models
Topic: ge an endogenous variable into exogenous in a model
Replies: 2
Views: 3419

Re: ge an endogenous variable into exogenous in a model

on a related question, once you change the formally endogenous variable to an exogenous one, how does introduce shocks to the latter for scenarios? In other words, i can do the conversion of an endogenous to exogenous var, then run the model to get a baseline. but i cannot figure out how to add shoc...

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