Problem in Automatical ARIMA Forecasting

[economist79]

My sample years are 1972-2013 and my range years are 1972-2025 so I want to make an automatic ARIMA forecast for my dependend variable. I made the forecast and I can see the actual values for my sample years (1972-2013) but I can not see the forecast values for my ex-ante years (2014-2025). Can you help me with my problem, thanks.

[EViews Gareth]

How many periods did you forecast over?

[economist79]

I forecasted 12 periods for the years 2014-2025. Eviews9 selected the best ARIMA model for forecast, and so everything seems normal, only I can not see the values of forecasted years neither as graph nor as number.

[EViews Gareth]

Can you provide the workfile, and step by step instructions on what you did?

[economist79]

eviewsfile.pdf

Eviewsfile

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At the beginning I composed a workfile and added my variables for the years 1972-2013, then I set the sample as 1972-2013 and then I increased my range up to 2025 by adding the command (expand 1972 2025). After these steps I double clicked my dependend varible (actuary) and clicked proc menu and automatic ARIMA forecasting. At the automatic ARIMA forecasting window there are two parts. One is specification part and other is options part as you know. At the specification part I only added constant value and my other independend variables as regressors, and after that ,at the options part I clicked the Forecast comparison graph, ARMA criteria table and ARMA criteria graph. These are, step by step, what I have done so far.

[EViews Gareth]

Do you have data on the independent variables over the forecast period?

[economist79]

I have no data on independent variables over the forecast period cause i am trying to make ex-ante estimations for the years 2014-2025, is this not possible via eviews9?

[startz]

Nothing to do with EViews. If you have independent regressors then you need values for them during the forecast period. You either need to know them or to forecast them.

[economist79]

You're surely right, i tried to forecast my independend variable without adding the regressors and now i can see the forecasted values. Can i make the same forecasts for my independend variables and then add these values ass regressors for forecasting my dependend varibable?

[startz]

You might want to look at the VAR feature.

[economist79]

Does Var feature has automatic forecast property too?

[EViews Gareth]

No, you'll have to choose the number of lags manually.

[economist79]

Thank you guys for giving me information about ARIMA forecast, i will try both Arima and Var model and select the best model proper to the literature.

[Hasna]

Hi,

I have two models AR(1) and MA(1), I was able to make forecast for one period ahead but I want to make forecast for at least 3 months ahead.
Since there is no actual yet for Y+1 period therefore for the year Y+2 I cannot make any ax-ante forecast because to estimate the equation I need error et-1 for MA(1) where et is the error of Yt period forecast. Likewise AR(1) i dont have the actual for Y+1 period and to estimate forecast for the time Y+2 i need actual for the previous period. In that case should I use Y+1 forecast value to make forecast for Y+2 same as error for the MA(1) model?

Thanks/Hasna

[EViews Gareth]

Just do a dynamic forecast.