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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