Re: Problem in Automatical AR & MA Forecasting
Posted: Fri Jun 26, 2015 6:02 am
I did use dynamic forecast but my concern is i can only make one period ahead forecast but not more than that since i dont have nay independent value for the one period back.
In that case should I use the forecast value for the other months? For example: my sample for the model is 2013 01 to 2015 05, so was able to get all the necessary variables for one month ahead forecast but how am I get value for Yt-1 for 2 month ahead or more month ahead forecast for AR(1) model. I also have one MA(1) model in that case how can I get et-1 for 2 month or more month ahead forecast. Please suggest, I am applying some advance model in my work and need to get the forecast ready for next quarter.
Thanks/Hasna
In that case should I use the forecast value for the other months? For example: my sample for the model is 2013 01 to 2015 05, so was able to get all the necessary variables for one month ahead forecast but how am I get value for Yt-1 for 2 month ahead or more month ahead forecast for AR(1) model. I also have one MA(1) model in that case how can I get et-1 for 2 month or more month ahead forecast. Please suggest, I am applying some advance model in my work and need to get the forecast ready for next quarter.
Thanks/Hasna