Search found 5 matches

by hichbenn
Fri Feb 22, 2013 4:04 am
Forum: Estimation
Topic: A parameter sign restrictions in VAR models
Replies: 0
Views: 2112

A parameter sign restrictions in VAR models

Would anyone help me find a code or how to estimate a VAR model with parameter sign restrictions?

If anyone have this code in any other softwares, PLEASE, dont hesitate to share it with me :)
by hichbenn
Tue Sep 20, 2011 8:38 am
Forum: Programming
Topic: rolling forecasting
Replies: 4
Views: 6625

Re: rolling forecasting

thank you my friend,
I got you but I think I will have the program myself ;) as there is nothing ready for now :)
thx alot
by hichbenn
Tue Sep 20, 2011 8:10 am
Forum: Programming
Topic: rolling forecasting
Replies: 4
Views: 6625

Re: rolling forecasting

Can you please send me a link for this topic.

I didn't get your idea, please would you tell me more details?

I mean I need to have the whole VAR if I have to calculate forecasting for any variable.

Thx alot
by hichbenn
Tue Sep 20, 2011 6:52 am
Forum: Suggestions and Requests
Topic: In sample and out of sample test
Replies: 4
Views: 31205

Re: In sample and out of sample test

Let's say your data sample is 1995q1 2010q4 If I want to test a model used for forecasting, I would estimate it for a sub-sample that leaves me with enough out-of-sample observations, such as 1995q1 2006q4. For in-sample test, estimate the equation, and check the statistics like RMSE, MAE, etc, tha...
by hichbenn
Tue Sep 20, 2011 3:58 am
Forum: Programming
Topic: rolling forecasting
Replies: 4
Views: 6625

rolling forecasting

Hello dear friends, I wish I can get a response to my query: I would like to estimate a VAR model from 1997q1 to 2010q1, then calculate the RMSE from 2007q1 to 2010q1 for three horizons: 1, 2 and 3 quarters ahead. Eg. I have to estimate the VAR from 1997q1 to 2006q4, then calculate the forecasting f...

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