Static y forecast with out of sample x's

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Dave_maccer
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Joined: Wed Apr 04, 2018 2:08 am

Static y forecast with out of sample x's

Postby Dave_maccer » Wed Apr 04, 2018 7:22 am

Hi there.

I am trying to forecast forward y by 12 quarters based on a single ols equation. I have assumed values for my independent variables for the out-of-sample 12 quarters period, so am trying to do a static forecast. This only allows me to forecast out 4 quarters, obviously using actual lagged values of my independent variables in my regression, and stopping at the end of my sample
.
Is there a way of using my assumed values of independent variable as, in effect, actual values to roll forward a static forecast of y? Essentially I am trying to forecast y based on future scenarios of x

Many Thanks

EViews Gareth
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Re: Static y forecast with out of sample x's

Postby EViews Gareth » Wed Apr 04, 2018 7:52 am

Static vs Dynamic has nothing to do with whether values of X are actual or not. It is just whether you use actual or forecasted values of Y.
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Dave_maccer
Posts: 3
Joined: Wed Apr 04, 2018 2:08 am

Re: Static y forecast with out of sample x's

Postby Dave_maccer » Wed Apr 04, 2018 8:24 am

Got it, thanks. Does that mean creating new variable, y2, and adding in forecasted values of y, or is there a neater way of doing that within the forecast function in my original equation? Apologies for the dumb questions.

Dave_maccer
Posts: 3
Joined: Wed Apr 04, 2018 2:08 am

Re: Static y forecast with out of sample x's

Postby Dave_maccer » Wed Apr 04, 2018 8:34 am

You'll probably guess I have lagged values of y as independent variables, hence the limit on my initial forecast to 4 quarters out.

EViews Gareth
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Re: Static y forecast with out of sample x's

Postby EViews Gareth » Wed Apr 04, 2018 8:34 am

Don't really understand the question.

If you tell EViews to do a static forecast, EViews will use the values inside the Y series over the forecast period.

If you tell EViews to do a dynamic forecast, EViews will use the forecasted values of Y over the forecast period.
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