EViews.com

Markov Switching is still missing. Am I right? Can anyone help me programming a rolling regression with a markov-switching vector error correction model. I don't want to wait for another period of 3 years.

I can't download the price of ETFs like the iTraxx Europe 5-Year (DXSR.DE).
Perhaps there is a problem with points because the download of the stock price of BASF (BAS.DE) also doesn't work.

I think you only have to delete the following code from your program: 'reset sample to forecast period smpl @first+!i+!window-1 @first+!i+!window-2+!step The VEC-Estimation works with lags. So you don't use the last data point of the estimation sample. Therefore you don't have to change your sample ...

Thank You for the answer. I've searched for articles related to my problem and in the Journal of Econometrics I've found an easy to implement solution. The article calls "Approximations for cointegration tests with stationary exogenous regressors" (2005) from Boswijk and Doornik. Probably ...

I need to include a stationary variable as an exogenous one in the Johansen cointegration test; however, I noticed that the following note appears when performing this test "critical values may be not valid with exogenous variables", so what critical values are valid in this case? Can you ...

E-Views offers the VECM with exogenous variables, but the cointegration test do not show the correct critical values. Why?
How can I calculate these values?
Do you know any tabulation for these values?

It works! Thanks a lot! But how can I save the results in a rolling forecast. Below you can see the program code. I haven't any idea how to save pc1. I do only get the values of the last estimation of pc1. ' set window size !window =120 ' get size of workfile !length = @obsrange ' Sample for estimat...

Thank You for the advice. I've done it. It really wasn't very hard.

I know how to get principal components of a group by using the menu.
But I want to do a rolling forecast and therefore I need the code for saving component scores.
Can anyone help me?

Is there any possibility to do forecasts with a vector error correction model by using a rolling window?

Hello,
I have got a problem with the forecast. I estimate my var model and then I start the forecast and get the error message "y already exists".
y is the endogeneous variable I want to predict. It exists because I need y for the estimation. What is my fault?