Forecasting within model object

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ecardamone
Posts: 40
Joined: Wed Sep 17, 2014 12:23 pm

Forecasting within model object

Postby ecardamone » Thu Oct 08, 2015 8:35 am

Hi,

I hope someone can help me better understand how forecasting works within the model object. I have a panel dataset with two endogenous variables, call them c and g, and several exogenous variables, k, pi etc. I have history data 1980-2014 for all the variables. I also have forecast data (2015-2025) for all exogenous variables.

One of my endogenous variables is a function of the other one, g = f(c, pi) and c = f(k(-1)). Therefore, in order to forecast g I need to forecast c first. I have been able to do this in two steps. First forecast c in a model object in which I only have an equation for c, and then I create another model object and forecast g by feeding in the forecast values, c_0.

I think I should be able to forecast both endogenous variables within a single model object, but I have not been successful. Here is a code I've tried:

Code: Select all

smpl @first 2014
equation c_eq.gmm log(c) c log(k(-1)) @ log(g)
equation g_eq.gmm log(g/g(-1))-log(c/c(-1)) log(pi/pi(-1)) @ log(jpgo)
smpl 2015 @last
model mymodel
mymodel.merge c_eq
mymodel.merge g_eq
mymodel.solve(n=f)


Is it necessary to specify "smpl 2015 @last" before I declare the model object?

If I leave that line out, there are no values generated for c_0 for 2015-2025, but the values for g_0 for the forecast period are generated. I am confused.
However, if I leave that line in, I encounter a different problem. Eviews program stops the calculation when it encounters negative values for an exogenous variable in the forecast period - the values for c_0 and g_0 are generated for cross-sections until a negative value for an exogenous variable shows up, after which no more calculations are performed.

Thanks for any feedback or advice you can offer!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12291
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecasting within model object

Postby EViews Gareth » Fri Oct 09, 2015 8:11 am

You can't have a series called C. That's probably what is causing the issues.
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