Forecast PMG equations for panel data

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Frdmn
Posts: 13
Joined: Sat Aug 11, 2018 5:44 am

Forecast PMG equations for panel data

Postby Frdmn » Mon Dec 10, 2018 10:34 am

Hello,

I'm trying to forecast the dependant variable based on regressors but the forecast button for PMG estimation doesn't seem to function and only forecasts in-sample.

I use the following specification:

Code: Select all

equation pmg_em_asia.ardl(deplags=3,reglags=3) log(oil_consumption_per_capita) log(revenue_per_capita_real) log(brent_c_l)
forecast oil_consumption_per_capita_f


I have data up to 2018Q3 for oil_consumption_per_capita and up to 2021Q4 for revenue_per_capita_real and brent_c_l.

Do you have an idea of what is going on?

Thanks!
ps: I'm using Eviews 10+
F.
Attachments
macro_EM_Asia.csv
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EViews Gareth
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Re: Forecast PMG equations for panel data

Postby EViews Gareth » Mon Dec 10, 2018 2:06 pm

The PMG forecast does not currently dynamically update the dependent variable in the short run equation, so is, unfortunately, incapable of doing a true dynamic out-of-sample forecast.
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Frdmn
Posts: 13
Joined: Sat Aug 11, 2018 5:44 am

Re: Forecast PMG equations for panel data

Postby Frdmn » Tue Dec 11, 2018 2:34 am

Thank you Gareth,

Is there a command to retrieve short run cross section coefficients then?

Thank you in advance,

F.

EViews Gareth
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Re: Forecast PMG equations for panel data

Postby EViews Gareth » Tue Dec 11, 2018 8:52 am

Code: Select all

=pmg_em_asia.@ardlsrcoefs
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