## VECM forecasting

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.

Moderators: EViews Gareth, EViews Moderator

selin1000
Posts: 40
Joined: Tue Mar 06, 2012 1:56 pm

### VECM forecasting

Hi everybody!

I want to test the out-of-sample forecasting ability of a VECM on Eviews and am stuck. What I do is the following:
1) I divide my sample in two (I have monthly data series)
2) I estimate the VECM in my first sub-sample
3) I solve the model for my second sub-sample and manually compute the forecast errors

I would like to understand what Eviews does here exactly. Does Eviews compute 1-step ahead forecasts here, and does it employ rolling or recursive schemes?

How can I use the rolling scheme, and is it possible for me to do 2-step and 8-step ahead forecasts as well?

Thank you for your help so much!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12392
Joined: Tue Sep 16, 2008 5:38 pm

### Re: VECM forecasting

It does not use a rolling forecast. You'll have to write that yourself in a program. A search of the forum should bring up examples.

selin1000
Posts: 40
Joined: Tue Mar 06, 2012 1:56 pm

### Re: VECM forecasting

Gareth, tx a ton for your response. Is it one-step ahead forecasts? What does Eviews do? I'm a bit confused

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 12392
Joined: Tue Sep 16, 2008 5:38 pm

### Re: VECM forecasting

Depends on whether you are performing a dynamic or a static solve.

Static solve uses the fixed coefficient estimates, and the actual past values of the series. Dynamic solve uses fixed coefficients, but the forecasted/solved past values of the series.