Forecasting with VECM Model

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UBS
Posts: 2
Joined: Sat Feb 20, 2021 11:10 am

Forecasting with VECM Model

Postby UBS » Sat Feb 20, 2021 11:22 am

Hi, i have two variables - hpi and sp500. My training data set is from 2011m2 to 2019m12. Using a VAR VECM model I am trying to forecast hpi from 2020m1 through 2020m11. I already have the forecasts for sp500 through 2020m11. But I keep getting this error in Eviews (see attached). Please advice.


eviews_error1.jpg
eviews_error1.jpg (35.77 KiB) Viewed 105 times


Also is there a step by step guide or examples on how to use a VECM model to forecast 2-3 years into the future if only one variable's forecasts are available and the other variable (e.g. hpi) only has actuals (history)? Also attaching working file.


hpiursandp.wf1
(90.53 KiB) Downloaded 4 times

Thanks in advance!

startz
Non-normality and collinearity are NOT problems!
Posts: 3645
Joined: Wed Sep 17, 2008 2:25 pm

Re: Forecasting with VECM Model

Postby startz » Sat Feb 20, 2021 12:00 pm

I opened var_vecm and changed the forecast to 2020m1 to 2020m11 and hit the forecast button. It worked perfectly, (I realize that's not very helpful.)

Any chance you have an out-of-date version of EViews?

UBS
Posts: 2
Joined: Sat Feb 20, 2021 11:10 am

Re: Forecasting with VECM Model

Postby UBS » Sat Feb 20, 2021 1:01 pm

Thanks, that worked on my end too. Simple enough!


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