VECM forecasting
Posted: Mon May 06, 2013 2:15 am
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!
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!