Rolling Regression Forecasting

[dongyadu]

Hi,

I am new to this forum. Aslo, I am new to Eveiws.

I want to ask if anyone know how to conduct the rolling regression forecasting on Eviews 7.

I want to test four exchange rate determination models and do the out of sample forecasting. Then I want to obtain the mean squared prediction errors for each of the model and comparing them to MSPE OF the random walk model.

Please help!!

Dongya

[sweivE]

viewtopic.php?f=8&t=4877

[dongyadu]

Hi,

Thank you very much for your reply.

I want to do the one month ahead out-of sample forecasting. I have data from 1999m1 to 2011m4. and I want to forecast the period of 2008m1 to 2011m4.

Then, I want to calculate the mean squared prediction error for the models. But, I don't understand what is moving windows and how to set this window.

And, some studies says. it should drop the first data point, add an additional data point at the end of the sample, and re-estimate the model. And other studies do not say drop the first data point. So, I don't know which one is correct.

please help me.

Dongya

[mwu888]

Hi,

I know there is an existing rolling regression add-ins for Eviews. However, I am looking for a rolling regression add-in that performs rolling regression AND have the model selects the given regressors that maximizes a selection criterion (like Akaike) for one-step forecast. Is there such an add-in available?

[EViews Gareth]

No, although with the examples of rolling regression an the examples model selection methods available on the forum, you should be able to knock one up.

[mwu888]

Eview Gareth,

Can you direct me to discussions on model selection method on this board? Thank you.

[EViews Gareth]

viewtopic.php?f=15&t=383&p=1379