BVARs and fcast

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Sharky
Posts: 5
Joined: Tue Aug 16, 2016 6:51 am

BVARs and fcast

Postby Sharky » Tue Aug 16, 2016 6:54 am

Hi

I am using the fcast add-on to forecast with VARs. It works fine with the ECM (.ec) but when I tell it to fcast all the series using the .bvar, several of the series don't forecast out of sample. Oddly, one (the first) does.

Does anyone have any idea whether there are any known issues in using fcast with BVARs?

Sharky
Posts: 5
Joined: Tue Aug 16, 2016 6:51 am

Re: BVARs and fcast

Postby Sharky » Tue Aug 16, 2016 8:50 am

I've tried using makemodel and solving for forecasts that way but get the same problem so maybe this shouldn't be in "Add-in support"...

Code: Select all

for !ii=!m to !b-1 'EXPAND

smpl @first @first+!ii
var brecvar.bvar(NOCONST,prior=lit) 1 4 c_ inve y labobs     robs    pinfobs w
brecvar.makemodel(bvarmodel)


smpl @first+1+!ii @last
bvarmodel.solve
brecvar.fcast _bf
brecvartab(!ii-!m+1,1) = c__0(!ii+2)
brecvartab(!ii-!m+1,2) = inve_0(!ii+2)
brecvartab(!ii-!m+1,3) = y_0(!ii+2)
brecvartab(!ii-!m+1,4) = labobs_0(!ii+2)

delete c__bf inve_bf y_bf labobs_bf robs_bf pinfobs_bf w_bf
next


gives zeros for the forecast period for inve_0

Code: Select all

Last updated: 08/16/16 - 16:46
Modified: 1988Q4 2014Q3 // bvarmodel.solve

0.000000
1.745513
3.931802
6.590199
8.559823
7.236351
5.592367
2.197469
-0.715824
0.886564
0.644268
2.695389
4.685949
3.611336
3.935830
5.879947
8.245010
7.782273
7.867575
4.651494
2.420262
0.073466
-0.063016
-1.603982
-0.026416
2.730538
3.720697
5.191887
7.284921
8.344859
8.523570
12.20743
15.28286
15.30807
14.20564
11.52735
8.316766
6.661362
4.632351
-1.573486
-7.648966
-9.031301
-8.184192
-7.525205
-4.495301
-3.245115
-3.032536
0.394131
3.603058
8.345976
9.941303
10.62400
11.00101
17.25353
19.17401
20.23301
20.25606
18.62860
19.66837
17.83569
15.80006
5.647101
5.482860
8.201159
8.303956
8.430868
7.549430
5.756958
1.970574
-2.368052
-6.878626
-8.601699
-8.442075
-6.353533
-2.605177
1.615638
2.955661
5.846936
6.564426
7.002119
6.383877
6.279089
5.056519
5.948848
5.245713
4.639691
3.900586
3.858780
0.713716
1.097559
1.655001
0.763065
0.053990
0.907241
-0.093625
0.000000
0.000000
0.000000
0.000000
0.000000
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0.000000
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0.000000
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0.000000
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0.000000
0.000000
0.000000
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0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000



When I run the same code with .ec instead of .bvar it works fine.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11411
Joined: Tue Sep 16, 2008 5:38 pm

Re: BVARs and fcast

Postby EViews Gareth » Tue Aug 16, 2016 9:11 am

Which version/build date of EViews?
Follow us on Twitter @IHSEViews

Sharky
Posts: 5
Joined: Tue Aug 16, 2016 6:51 am

Re: BVARs and fcast

Postby Sharky » Wed Aug 17, 2016 3:23 am

Eviews 8 (x64)

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11411
Joined: Tue Sep 16, 2008 5:38 pm

Re: BVARs and fcast

Postby EViews Gareth » Wed Aug 17, 2016 8:02 am

Build date? (Help->About EViews).
Follow us on Twitter @IHSEViews

Sharky
Posts: 5
Joined: Tue Aug 16, 2016 6:51 am

Re: BVARs and fcast

Postby Sharky » Wed Aug 17, 2016 8:11 am

Mar 22 2013

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11411
Joined: Tue Sep 16, 2008 5:38 pm

Re: BVARs and fcast

Postby EViews Gareth » Wed Aug 17, 2016 8:36 am

That's very out of date. Update to the latest version.
Follow us on Twitter @IHSEViews

Sharky
Posts: 5
Joined: Tue Aug 16, 2016 6:51 am

Re: BVARs and fcast

Postby Sharky » Wed Aug 17, 2016 8:40 am

I've got it through my university. Is it possible to update without them doing so for the whole department? Or do I need to wait for that?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11411
Joined: Tue Sep 16, 2008 5:38 pm

Re: BVARs and fcast

Postby EViews Gareth » Wed Aug 17, 2016 8:42 am

I don't know the details of your particular install. Try it and see?
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