I am using Eviews8 for estimation of BVAR and I am trying to use these for forecasts. Is Eviews implementing the direct or iterated forecast for this? Also, is the value output the forecast mean or median? I have looked in the user guide but cant find an answer. I am using the solve function for this. Maybe that is wrong.
Thank you in advance.
BVAR Eviews8 Forecast
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: BVAR Eviews8 Forecast
The forecast is implemented in the classical sense - EViews just ignores the fact that the coefficients were estimated using Bayesian methods, and forecasts the same way as it would a classical model.
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Re: BVAR Eviews8 Forecast
Thank you. I was also wondering how the priors are implemented. I have for example
smpl @first @last-!n-!f+!i
var el.bvar(prior=lit,mu1=1,l1=1,l2=0.9,l3=20) 1 2 variable1variable2 variable3
el.makemodel(mod4)
this gives me very differnet forecast compared to a matlab toolbox. Is the first equation set as variable1 =1* variable1(-1) + 0*variable2(-1) + 0*variable3(-1) or is it set differently maybe such as: variable1 =1* variable1(-1) + 1*variable2(-1) + 1*variable3(-1)
smpl @first @last-!n-!f+!i
var el.bvar(prior=lit,mu1=1,l1=1,l2=0.9,l3=20) 1 2 variable1variable2 variable3
el.makemodel(mod4)
this gives me very differnet forecast compared to a matlab toolbox. Is the first equation set as variable1 =1* variable1(-1) + 0*variable2(-1) + 0*variable3(-1) or is it set differently maybe such as: variable1 =1* variable1(-1) + 1*variable2(-1) + 1*variable3(-1)
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- EViews Developer
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Re: BVAR Eviews8 Forecast
The variance of the coefficients is assumed to have the form with the *three* hyperparameters (please see the attachment).
Can you provide me your Matlab script and the name of the toolbox(es) required for the script? I would like to run the script to replicate the result.
Can you provide me your Matlab script and the name of the toolbox(es) required for the script? I would like to run the script to replicate the result.
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