forecasting ARIMA

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zelenaboja
Posts: 11
Joined: Wed Jan 25, 2017 9:59 am

forecasting ARIMA

Postby zelenaboja » Sat Feb 18, 2017 10:34 am

Hi,
I am trying to get the same picture as it is in Gujarati's book (Econometrics by Example, 1st edition), page 274.
I am using the datafile 13.6, I generate first difference of the lnclose (as instructed in the text) and I estimate this equation:
dlclose c ar(4) ar(22) ma(4) ma(22)
and get these results.
Image

The text says that once we have a fitted model (I assume the one above), we go forecasting. Hitting the forecast buttom. And now I have a problem, bacause the textbook's text says that eviews will automaticall use the level of the log prices...But in my example it uses the first difference and I don't the picture in the book, because I get the first difference forecast.

The book's image:
Image

What I get:
Image

So what do I do wrong, and how can I get what is in the book (lnclose arima forecast).
Thanks.
Attachments
Table13_6.xls
(69 KiB) Downloaded 263 times

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: forecasting ARIMA

Postby startz » Sat Feb 18, 2017 12:27 pm

you may want to use d(lclose) rather than dlclose.

zelenaboja
Posts: 11
Joined: Wed Jan 25, 2017 9:59 am

Re: forecasting ARIMA

Postby zelenaboja » Sat Feb 18, 2017 2:25 pm

I first genererate lclose with GEN lclose=log(close)
and then i generate dlclose=d(lclose)

The program doesn't allow me to generate series called d(lclose)....that is the problem, because I can't write d(lclose)=d(lclose)

startz
Non-normality and collinearity are NOT problems!
Posts: 3775
Joined: Wed Sep 17, 2008 2:25 pm

Re: forecasting ARIMA

Postby startz » Sat Feb 18, 2017 2:27 pm

just
ls d(lclose) c x etc

zelenaboja
Posts: 11
Joined: Wed Jan 25, 2017 9:59 am

Re: forecasting ARIMA

Postby zelenaboja » Sat Feb 18, 2017 2:32 pm

thanks...did it...didn't know that function..thought I first needed to generate series....
I got what I needed, thanks.


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