Hi Eviews Support,
This should be a simple one. Is there an in-built way to forecast in ECM form?
For example, I can estimate an ARDL in log-levels. Then I can transform it into ECM form using the 'Error correction form', e.g.:
equation Example_1.ardl log(Cons) log(income)
The latter specification is useful to me, because rather than using the spurious relationship in levels, it is explicitly estimating the correction coefficient in log-differences. It is large and statistically significant; so far so good.
But when I click 'Forecast', I get the same forecast series regardless of whether I selected the log differences ECM or the 'spurious ARDL'. I suspect that the forecast function is using the base specification in log-levels and doesn't recognize that I want it in error correction form.
Could you cast some light on this? Is there an in-built way of making ECM forecasts? Or do I need to write an iterative loop for computing dynamic forecasts of the error correction term?
For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 33 guests