Hello,
I am using Bayesian VAR to nowcast GDP and financial sector output, however I have some issues. I will try to describe it step-by-step. First, I estimate the model with data from 1996q1 to 2015q4, then I make model and obtain forecasts for 2016q1 using Dynamic-Deterministic simulation. Until this point, everything is fine. However, as I have 2016q1 data for some of the variables included in the model, I create alternative scenario and override the values for 2016q1 with the data I have. However, when I compare the forecasted values of GDP from this scenario with baseline forecasts there is no change. What am I doing wrong? I will greatly appreciate your comments!
Nowcasting GDP
Moderators: EViews Gareth, EViews Moderator
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13309
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Nowcasting GDP
Here is the workfile. Thank you Gareth very much for looking into these matters!
- Attachments
-
- Nowcast WF.wf1
- (110.09 KiB) Downloaded 536 times
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13309
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Nowcasting GDP
I think none of the remaining endogenous variables depend upon the overriden/excluded variables in the same time period - they all depend on past values. So the forecasts will only change for a forecast of 2016q2 onwards.
Follow us on Twitter @IHSEViews
Re: Nowcasting GDP
Maybe you have some advice how I can make the remaining endogenous variables depend on the overriden variables in the same period?
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13309
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Nowcasting GDP
Change the specification of the underlying relationships
Follow us on Twitter @IHSEViews
Re: Nowcasting GDP
Seems that I found the solution - variables for which data are available are specified as exogenous in VAR dialog!
Re: Nowcasting GDP
You do not need to make some variables exogenous forcefully. It is not good idea. You can use the confcast add-in.
Re: Nowcasting GDP
Dear Dakila, thank you very much for answer. However, where can I download the confcast add-in? It isn't listed there http://www.eviews.com/Addins/addins.shtml
Re: Nowcasting GDP
Sorry. You need to wait. It is new add-in. I hope Eviews will post it soon on the web.
Re: Nowcasting GDP
Hi Andrew,
How did you find it?
How did you find it?
Who is online
Users browsing this forum: No registered users and 10 guests