Real Time BVAR

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cantagallo
Posts: 13
Joined: Wed Feb 25, 2015 4:02 am

Real Time BVAR

Postby cantagallo » Thu Mar 05, 2015 2:27 pm

Hi!
I'm running a real-time forecasting exercise with a BM model, using the AR as a benchmark. I'd like to expand the model adding a BVAR benchmark (Minnesota prior). I use Eviews7 and dowloaded the BVAR add-in but I don't know how to use it in a real-time context, in the programming code.
I copy what I've done for the AR (hoping that it's not too long): can someone please help me?

Code: Select all


!vqtr=1
for !v = 1 to 75 step 3                                       
     !vmth = 1
     !vn = !v
          for %0 {%paese}                 
                call load_Qdata
         for %m1 %m2 "uni" "back"
                smpl     2005q4-!spanq+!vqtr   2005q4-1+!vqtr
            !tolav = 0.05
            !tolin = 0.05
'
                   for %7 yar ddar mar xar pyar pdar pmar pxar
               equation eq_{%7}_{%0}.stepls(method={%m1}, {%m2}, btol={!tolin}, ftol={!tolav}) dlog({%7}_{%0}) c @   _
                                dlog({%7}_{%0}(-1)) dlog({%7}_{%0}(-2)) dlog({%7}_{%0}(-3)) dlog({%7}_{%0}(-4))
               eq_{%7}_{%0}.ls
                   next                                               
         next
smpl    2005q4-1+!vqtr+1  2005q4-1+!vqtr+!horizonq
bm_{%0}.solve
rename bm_{%0} v{!vqtr}_{!vmth}_bm_{%0}
smpl    @first  2005q4-1+!vqtr+!horizonq
for %2 yar mar xar pyar pmar pxar 
   genr v{!vqtr}_{!vmth}_{%2}_{%0} = {%2}_{%0}_0
   delete {%2}_{%0} {%2}_{%0}_0
next
'
' this part computes the second and third month of the term
     !vmth = !vmth + 1
     while  !vmth<=3
      !vn = !vn+1
          smpl @all
          for %0 {%paese}
'HERE SAME CODE AS IN THE 1st LOOP
          !vmth = !vmth+1
     wend 
   !vqtr = !vqtr + 1
   !vn=!vn+1
smpl @all
next

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13308
Joined: Tue Sep 16, 2008 5:38 pm

Re: Real Time BVAR

Postby EViews Gareth » Thu Mar 05, 2015 7:32 pm

You're going to have to provide more details on what you're trying to do.
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cantagallo
Posts: 13
Joined: Wed Feb 25, 2015 4:02 am

Re: Real Time BVAR

Postby cantagallo » Fri Mar 06, 2015 8:44 am

I think you're right, sorry.

If possible, I just need the programming code for the BVAR, equivalent to the AR part:

Code: Select all

for %m1 %m2 "uni" "back"
                smpl     2005q4-!spanq+!vqtr   2005q4-1+!vqtr
            !tolav = 0.05
            !tolin = 0.05
'
                   for %7 yar ddar mar xar pyar pdar pmar pxar
               equation eq_{%7}_{%0}.stepls(method={%m1}, {%m2}, btol={!tolin}, ftol={!tolav}) dlog({%7}_{%0}) c @   _
                                dlog({%7}_{%0}(-1)) dlog({%7}_{%0}(-2)) dlog({%7}_{%0}(-3)) dlog({%7}_{%0}(-4))
               eq_{%7}_{%0}.ls
                   next 

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13308
Joined: Tue Sep 16, 2008 5:38 pm

Re: Real Time BVAR

Postby EViews Gareth » Fri Mar 06, 2015 8:54 am

Still not clear.

From that code snippet it looks like you're using the built in stepwise least squares routine to select an appropriate lag distribution on the dependent variable for a simple linear least squares model.

What does that have to do with BVARs?
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cantagallo
Posts: 13
Joined: Wed Feb 25, 2015 4:02 am

Re: Real Time BVAR

Postby cantagallo » Fri Mar 06, 2015 12:46 pm

I apologise again. That's right: I'd like to write a BVAR for the 6 variables (but with Eviews7, where only the add-in exists!) in the same position of my real-time code. Is it clearer? Sorry for that.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13308
Joined: Tue Sep 16, 2008 5:38 pm

Re: Real Time BVAR

Postby EViews Gareth » Fri Mar 06, 2015 12:49 pm

Which 6 variables?
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cantagallo
Posts: 13
Joined: Wed Feb 25, 2015 4:02 am

Re: Real Time BVAR

Postby cantagallo » Fri Mar 06, 2015 1:42 pm

GDP Import Export GDP_deflator Import_deflator Export_deflator
for US China Italy


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