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?
BVARs and fcast
Moderators: EViews Gareth, EViews Moderator, EViews Esther
Re: BVARs and fcast
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"...
gives zeros for the forecast period for inve_0
When I run the same code with .ec instead of .bvar it works fine.
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
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When I run the same code with .ec instead of .bvar it works fine.
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
Re: BVARs and fcast
That's very out of date. Update to the latest version.
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Re: BVARs and fcast
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?
-
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13315
- Joined: Tue Sep 16, 2008 5:38 pm
Re: BVARs and fcast
I don't know the details of your particular install. Try it and see?
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