Forecasting with VAR
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Forecasting with VAR
I estimated a VAR model with 3 variables and 2 lags for the period 2000q1 to 2007q3. Now I need to forecast from 2007Q4 to 2012Q4, however I need to separate forecasts in that 2007 Q4 will be my current year forecast, forecasts of 2008Q1, Q2, Q3, and Q4 and summed up would be my year ahead and so on. Now I managed to do this step, now what I would like to ask is: when you add another four quarters of data and forecast again so now I have data from 2000q1 to 2008q3 and I need to forecast 2008Q4 and so on do I need to estimate another VAR model with the data now including data up till 2008Q3, make another model in eviews and forecast or do I just need to update the data and use the previous VAR, I got confused as the co-efficients of the variables in the VAR might change when including another four quarters of data
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Re: Forecasting with VAR
jul31 wrote:I estimated a VAR model with 3 variables and 2 lags for the period 2000q1 to 2007q3. Now I need to forecast from 2007Q4 to 2012Q4, however I need to separate forecasts in that 2007 Q4 will be my current year forecast, forecasts of 2008Q1, Q2, Q3, and Q4 and summed up would be my year ahead and so on. Now I managed to do this step, now what I would like to ask is: when you add another four quarters of data and forecast again so now I have data from 2000q1 to 2008q3 and I need to forecast 2008Q4 and so on do I need to estimate another VAR model with the data now including data up till 2008Q3, make another model in eviews and forecast or do I just need to update the data and use the previous VAR, I got confused as the co-efficients of the variables in the VAR might change when including another four quarters of data
Usually, you don't include the forecast data in your model.
Just forecast it all the way to 2012Q4 in one shot, and divide the forecast into different parts later.
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