EViews Gareth wrote:You have 7.
I just tried 7, and I got the same results of zero coefmat.
Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt
EViews Gareth wrote:You have 7.
EViews Gareth wrote:Hard to say what you're doing wrong.
Code: Select all
' set window size
!window = 142
' set step size
' declare equation for estimation
equation eq01
' get size of workfile
!length = @obsrange
%cmnd = _this.@command 'EDIT: get the equation specification stored in eviews
!step = 4
'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)
'matrix to store coefficient estimates
matrix(7,!nrolls) coefmat ' where 3 is the number of coefficients
'series to store forecast estimates
series fcast
'redundant series for catching start and end points
%start = "@first" '@otod(@ifirst(ser))
%end = "@last" '@otod(@ilast(ser))
'variable keeping track of how many rolls we've done
!j=0
' move sample !step obs at a time
for !i = 1 to !length-!window+1-!step step !step
!j=!j+1
' set sample for estimation period -recursive window
%first = @otod(@dtoo(%start))
%last = @otod(@dtoo(%start)+!i+!window-1)
smpl {%first} {%last}
' estimate equation -
!maxerr = @maxerrcount
setmaxerrs !maxerr+1
_this.{%cmnd} 'estimated equation
colplace(coefmat,eq01.@coefs,!j) 'store coefficients
' 4-period-ahead forecast
%4pers = @otod(@dtoo(%start)+!i+!window-1) 'start point
%4pere = @otod(@dtoo(%start)+!i+!window+3) 'end point
if @dtoo(%end) < @dtoo(%4pere) then 'check whether the forecast end point is greater than the workfile end point
exitloop
endif
' set smpl for forecasting period
smpl {%4pers} {%4pere}
' forecast with command *forecast* (see also *fit*)
eq01.forecast(f=na) yf
' set sampl to obtain the 4th period observation
smpl {%4pere} {%4pere}
' store forecasts
fcast = yf
next
smpl @all
show coefmat
show fcast.line
d(noerr) yf
'calculate RMSE
scalar rmse=@rmse(y, fcast)
' plot actual and recursive forecasts
graph graph1.line y fcast
graph1.addtext(t) forecast
show graph1
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