Problem forecasting with PDL equation

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ghammond
Posts: 1
Joined: Fri Jun 08, 2018 10:32 am

Problem forecasting with PDL equation

Postby ghammond » Wed Jun 20, 2018 11:03 am

I'm experiencing a problem forecasting with an equation estimated with the PDL function. The estimated equation looks fine,

Dependent Variable: YTXY_CORPCB
Method: ARMA Maximum Likelihood (BFGS)
Date: 06/05/18 Time: 10:29
Sample: 1986Q1 2016Q1
Included observations: 121
Convergence achieved after 5 iterations
Coefficient covariance computed using outer product of gradients

Variable Coefficient Std. Error t-Statistic Prob.

C 1.27E+09 4.10E+08 3.106774 0.0024
@MOVAV(YTX_CORPSLSALLOC(-2),4) -38878448 7039342. -5.523023 0.0000
@SEAS(2) 1.71E+09 2.31E+08 7.378722 0.0000
@SEAS(3) 7.49E+08 3.02E+08 2.476446 0.0148
@SEAS(4) 4.02E+08 2.44E+08 1.646133 0.1026
PDL01 65684.73 70829.06 0.927370 0.3558
PDL02 41444.35 70536.43 0.587560 0.5580
PDL03 19443.74 11250.47 1.728260 0.0867
PDL04 -13005.23 6859.295 -1.896001 0.0606
AR(4) 0.621461 0.083447 7.447401 0.0000
SIGMASQ 1.22E+17 1.60E+16 7.632350 0.0000

R-squared 0.906515 Mean dependent var 1.60E+09
Adjusted R-squared 0.898016 S.D. dependent var 1.15E+09
S.E. of regression 3.66E+08 Akaike info criterion 42.37709
Sum squared resid 1.47E+19 Schwarz criterion 42.63126
Log likelihood -2552.814 Hannan-Quinn criter. 42.48032
F-statistic 106.6660 Durbin-Watson stat 1.998101
Prob(F-statistic) 0.000000

Inverted AR Roots .89 .00+.89i -.00-.89i -.89

Lag Distribution of ZB(-2) i Coefficient Std. Error t-Statistic

. * | 0 1043342 194609. 5.36121
. * | 1 467486. 62203.8 7.51540
. * | 2 164613. 88993.2 1.84972
. * | 3 56689.3 81182.6 0.69829
. * | 4 65684.7 70829.1 0.92737
. * | 5 113568. 93649.5 1.21269
. * | 6 122307. 98002.0 1.24800
.* | 7 13870.2 71234.7 0.19471
* . | 8 -289773. 228108. -1.27033

Sum of Lags 1757787 161965. 10.8528


However, the equation with substituted coefficients gives coefficients on the wrong lags and the coefficient on the first lag is massively too big:

Estimation Command:
=========================
LS YTXY_CORPCB C PDL(ZB(-2),8,3) @MOVAV(YTX_CORPSLSALLOC(-2),4) AR(4) @SEAS(2) @SEAS(3) @SEAS(4)

Estimation Equation:
=========================
YTXY_CORPCB = C(1) + C(2)*@MOVAV(YTX_CORPSLSALLOC(-2),4) + C(3)*@SEAS(2) + C(4)*@SEAS(3) + C(5)*@SEAS(4) + C(6)*PDL01 + C(7)*PDL02 + C(8)*PDL03 + C(9)*PDL04 + [AR(4)=C(10),ESTSMPL="1986Q1 2016Q1"]

Forecasting Equation:
=========================
YTXY_CORPCB = C(1) + C(2)*@MOVAV(YTX_CORPSLSALLOC(-2),4) + C(3)*@SEAS(2) + C(4)*@SEAS(3) + C(5)*@SEAS(4) + C(11)*ZB(-2) + C(12)*ZB(-3) + C(13)*ZB(-4) + C(14)*ZB(-5) + C(15)*ZB(-6) + C(16)*ZB(-7) + C(17)*ZB(-8) + C(18)*ZB(-9) + C(19)*ZB(-10) + [AR(4)=C(10),UNCOND,ESTSMPL="1986Q1 2016Q1"]

Substituted Coefficients:
=========================
YTXY_CORPCB = 1274786254.36 - 38878448.1674*@MOVAV(YTX_CORPSLSALLOC(-2),4) + 1705736766.64*@SEAS(2) + 748744828.564*@SEAS(3) + 402111696.221*@SEAS(4) + 1.2181288126e+17*ZB(-2) + 1043341.78828*ZB(-3) + 467486.497392*ZB(-4) + 164612.807742*ZB(-5) + 56689.3436908*ZB(-6) + 65684.7295983*ZB(-7) + 113567.589823*ZB(-8) + 122306.548724*ZB(-9) + 13870.2306607*ZB(-10) + [AR(4)=0.621460900549,UNCOND,ESTSMPL="1986Q1 2016Q1"]

Can you help please?
Thanks.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11875
Joined: Tue Sep 16, 2008 5:38 pm

Re: Problem forecasting with PDL equation

Postby EViews Gareth » Wed Jun 20, 2018 11:17 am

Looks like a bug combining AR with PDLs. We'll fix.
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