Code: Select all
smpl @all
series rollyhat4
series rollse4 '
for !i=1 to 11 step 1
smpl 1997m01+(!i-1) 2015M09+(!i-1)
equation vecmeq{!i}. ??
smpl 2015M09+!i 2015M09+!i
vecmeq{!i}.fit tmp_yhat4 tmp_se4
rollyhat4 = tmp_yhat4
rollse4 = tmp_se4
next
smpl 2015m10 2018m09
genr rmse_var_ofs=@sqrt(@mean((dur-rollyhat4)^2))
genr mae_var_ofs=@mean(@abs(dur-rollyhat4))
I am not sure what to put where the ?? are. For my arma and error correction models, I was able to use the LS command to estimate the equation for each {!i} but I don't know how to do this for vecm. I tried putting in the model estimation code, var vecm1.ec(c,2) but it said there were no valid observations in my vecmeq. Is there a way to represent the vecm estimate as an equation? Thanks for your help.