Dynamic Model Averaging
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Dynamic Model Averaging
This thread is about the dma addin that performs Dynamic Model Averaging (Koop and Korobilis 2012).
Re: Dynamic Model Averaging
Hi,
may I ask: in the example file is a command line of the code as such
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart employ tbill spread djia money infexp comprice vendor
I am confused about what the 4 5 digits mean. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
Thank you
Martin
may I ask: in the example file is a command line of the code as such
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart employ tbill spread djia money infexp comprice vendor
I am confused about what the 4 5 digits mean. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
Thank you
Martin
Re: Dynamic Model Averaging
I am confused about what the 4 5 digits mean.
4 is forecast horizon. 5 is transformation code (log difference) for dependent variable.
I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
the following code with 2 exogenous variables is working.
Code: Select all
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart
read the instruction pdf file.
Re: Dynamic Model Averaging
Dear dakila,
I made a mistake contructing the vector t_code for my own exercise. I did not know that the dependent variable is not to be included in the vector of transformations.
Thank you for this awesome addin !
I made a mistake contructing the vector t_code for my own exercise. I did not know that the dependent variable is not to be included in the vector of transformations.
Thank you for this awesome addin !

 Posts: 3
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hello, I have Eviews 9.5. I downloaded the dma addins and installed it but can’t find any supporting materials with the instructions of how to use it. particularly, what is the vector transformation code? many thanks
Re: Dynamic Model Averaging
The instruction pdf file is located in C:\Users\...\Documents\EViews Addins\DMA\dma.pdf
code explanation
1 Level
2 First Difference
3 Second Difference
4 LogLevel
5 LogFirstDifference
6 LogSecondDifference
code explanation
1 Level
2 First Difference
3 Second Difference
4 LogLevel
5 LogFirstDifference
6 LogSecondDifference

 Posts: 3
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hi dakila, I am sorry my ignorance, but that file should be located in my C: folder after I installed the addin?
I can't find that file name in my machine.
Or is it located in this website?
Thanks,
Carolina
I can't find that file name in my machine.
Or is it located in this website?
Thanks,
Carolina

 Posts: 3
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hi dakila,
Can you explain what is the difference of the 3 outputs we get from your addin?
My dependant variable is y and after running the DMA program I get y_t_, y_t_best01, y_t_dma01
Thanks
Can you explain what is the difference of the 3 outputs we get from your addin?
My dependant variable is y and after running the DMA program I get y_t_, y_t_best01, y_t_dma01
Thanks
Re: Dynamic Model Averaging
y_t_ is the transformed dependent variable.
y_t_best is dynamic model selection forecast (best model forecast).
y_t_dma is dynamic model averaging forecast.
y_t_best is dynamic model selection forecast (best model forecast).
y_t_dma is dynamic model averaging forecast.
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