VAR Forecasting with predetermined time series

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Levis71
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Joined: Tue May 02, 2017 7:08 am

VAR Forecasting with predetermined time series

Postby Levis71 » Mon Jun 19, 2017 2:36 am

Hey guys,

i am using eviews 9.5.

I am currently working on a VAR which is supposed to produce forecasts for the (real) oil price. Overall, 5 Variables are included. Obviously, when I estimate the VAR I obtain the coefficients. Afterwards I generate dynamic forecasts for each time series included in the model.

My question is as follows: Is it possible to predetermine one or two of the time series in the forecasting process, so that these (predetermined) series are used for forecasting the other time series, but are not forecasted themselves?

For example: After estimating a VAR model with IP, CPI, real oil price, oil supply and inventories is it possible to generate forecasts for the first 4 variables while using (a) predetermined values (path) for the inventory time series? (e.g. assuming that the inventory variable remains on a given level)

I think I might be able to program something like this myself, but first I would like to make sure that there is no build-in option in EVIEWS.

Best regards,
Levis71

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: VAR Forecasting with predetermined time series

Postby EViews Gareth » Mon Jun 19, 2017 9:05 am

Create a series containing the actual historical values and the predetermined future values and call that series Y_1 where Y is the name of the original series (so GDP would become GDP_1 etc...).

From the VAR click on Proc->Make Model.

From the Model click the Scenarios button and change the scenario to Scenario 1.

Then click the Variables button, right click on the variable you want to predetermine and select "Edit Override". Click Yes on the dialog that pops up.

Then go back to the model, click Solve and set the solution sample to be the forecast sample you want. Click OK, and you're done.

The forecasts of the other variables will have the same _1 pattern.
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dakila
Posts: 479
Joined: Tue Nov 24, 2015 4:57 pm

Re: VAR Forecasting with predetermined time series

Postby dakila » Wed Jun 21, 2017 3:39 pm

Use the confcast add-in.


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