Forecast averaging

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dholland
Posts: 6
Joined: Thu May 07, 2015 7:33 am

Forecast averaging

Postby dholland » Sat Jul 08, 2017 9:21 am

Hi, I'm having some difficulty with the forecast averaging option. I am attaching my file with the example. I estimate my equation, and use the forecast proc attached to the equation to create a static forecast, and the output looks very sensible. (jpn_yegf and eq_forecast_proc). I then select my forecast variable (jpn_yerg) and use the forecast averaging proc, to run what I thought would be exactly the same procedure - selecting the equation _now_jpn_yer_q as the only equation object - and run a static forecast over the same sample period. The results are crazy this time (jpn_yerg_fave and forecast_ave_output). Please can you help me figure out what I'm doing wrong? Some other equations I've tested seem to work fine, so maybe it is something particular to the data? Many thanks for suggestions!
Dawn
(I am working with eviews 9.5)
Attachments
jptest.wf1
(40.91 KiB) Downloaded 249 times

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13308
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecast averaging

Postby EViews Gareth » Sat Jul 08, 2017 10:36 am

Forecast averaging does a dynamic forecast.
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dholland
Posts: 6
Joined: Thu May 07, 2015 7:33 am

Re: Forecast averaging

Postby dholland » Sat Jul 08, 2017 5:01 pm

Got it. Thanks. I was confused by the dynamic/static switch, but I now see it just refers to the training sample.


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