Hello colleagues,
i want to forecast a sample not by iteration, but direct. This means for example, that my AR model looks like this: y(5) c y(1) y(2), if the forecast horizon is 5. Because Eviews is not able to forecast it by the commands "fit" or "forecast", I have to program it. Has anybody an idea, how it could look like?
Thanks and greetings
Direct Forecasting
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Re: Direct Forecasting
I don't follow what you mean by this.
You want to estimate Y(5) without estimating Y(4), Y(3), Y(2), Y(1)? If so, then what value do you wish to use for Y(1) Y(2)? If you want to use the true values, then a "fit" will do it.
You want to estimate Y(5) without estimating Y(4), Y(3), Y(2), Y(1)? If so, then what value do you wish to use for Y(1) Y(2)? If you want to use the true values, then a "fit" will do it.
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Re: Direct Forecasting
Harvard wrote:Hello colleagues,
i want to forecast a sample not by iteration, but direct. This means for example, that my AR model looks like this: y(5) c y(1) y(2), if the forecast horizon is 5. Because Eviews is not able to forecast it by the commands "fit" or "forecast", I have to program it. Has anybody an idea, how it could look like?
Thanks and greetings
Forecast doesn't work with leads and lags. But you could do
Code: Select all
series x=y(5)
ls x c x(6) x(7)
Re: Direct Forecasting
Hello,
the idea "series x=y(5), ls x c x(6) x(7)" sounds great. I will try it and post if it works.
Thanks very much
the idea "series x=y(5), ls x c x(6) x(7)" sounds great. I will try it and post if it works.
Thanks very much
Re: Direct Forecasting
Dear colleagues,
it works.
Thanks again for the great idea.
Greetings from Germany
it works.
Thanks again for the great idea.
Greetings from Germany
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