### Point ahead forecast + moving coefficients

Posted:

**Fri May 11, 2012 6:37 pm**Dear Eview users

I am trying to get into eviews and especially what it can do in forecasting. I am trying to run a forecast for a known series ( ICI, 755 observations will be used for the forecast, the remainder of the 1254 observations will be used to judge the model ). It's quite simple what I am trying to do. I looked through the manual and found some code. I found this code below and understand most the code but I can't even get it to run, let alone evaluate it's correctness ( luckily I have matlab so if something is off, I can compare it )

I am Trying to construct Construct 1,2,3,4,5 ahead point forecasts for the sample period. Hence at each time T (T = 755, 756, . . . , 1254) I want to an forecast ICIT+h|T (h = 1, 2, 3, 4, 5), then I wan to re-estimate the AR(3) model repeatedly every 25 observations, 'using a 'moving 'window approach with a sample length of 755 observations of the ICI ( implied correlations index )

Any suggestions ? Is trying to solve it in this way even good ?

I also get an error saying @ifirst is an illegal or reserved name.

Perhaps you can help me or did something similar before and can show how you programmed this into this software.

I am trying to get into eviews and especially what it can do in forecasting. I am trying to run a forecast for a known series ( ICI, 755 observations will be used for the forecast, the remainder of the 1254 observations will be used to judge the model ). It's quite simple what I am trying to do. I looked through the manual and found some code. I found this code below and understand most the code but I can't even get it to run, let alone evaluate it's correctness ( luckily I have matlab so if something is off, I can compare it )

I am Trying to construct Construct 1,2,3,4,5 ahead point forecasts for the sample period. Hence at each time T (T = 755, 756, . . . , 1254) I want to an forecast ICIT+h|T (h = 1, 2, 3, 4, 5), then I wan to re-estimate the AR(3) model repeatedly every 25 observations, 'using a 'moving 'window approach with a sample length of 755 observations of the ICI ( implied correlations index )

Any suggestions ? Is trying to solve it in this way even good ?

I also get an error saying @ifirst is an illegal or reserved name.

Perhaps you can help me or did something similar before and can show how you programmed this into this software.

Code: Select all

`'DATA is already in the series file which contains the ICI`

'Program description

' I am Trying to contruct Construct one-, two-, three-, four and

'five-step ahead point forecasts for the sample period. Hence at each time T (T = 755, 756, . . . , 1254) I want to an forecast ICIT+h|T (h = 1, 2, 3, 4, 5), then I wan to re-estimate the AR(3) model repeatedly every 25 observations, 'using a 'moving 'window approach with a sample length of 755 observations of the ICI ( implied correlations index )

'Date last modified 12/03/12 03:25 am

'------------------------------------------------------------------------------------

' set window size

!window = 25

' set step size

!step = 1

' get size of workfile

!length = @obsrange

' declare equation for estimation

equation eq1

'calculate number of rolls

!nrolls = @floor((!length-!window)/!step)

'matrix to store coefficient estimates

matrix(4,!nrolls) coefmat ' where 4 is the number of coefficients

'series to store forecast estimates

series fcast

'redundant series for catching start and end points

series ser = 1

%start = @otod(@ifirst(ser))

%end = @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

%first = @otod(@dtoo(%start)+!i-1)

%last = @otod(@dtoo(%start)+!i+!window-2)

smpl {%first} {%last}

' estimate equation - where the equation is AR(3) model

eq1.ls ICI c AR(1) AR(2) AR(3)

' store coefficients

colplace(coefmat,eq1.@coefs,!j)

' 5-period-ahead forecast

%5pers = @otod(@dtoo(%start)+!i+!window-1) 'start point

%5pere = @otod(@dtoo(%start)+!i+!window+2) 'end point: %5pere - %5pers +1 = 5

if {%end} < {%5pere} then 'check whether the forecast end point is greater than the workfile end point

return

endif

' set smpl for forecasting period

smpl {%5pers} {%5pere}

' forecast with command *forecast* (see also *fit*)

eq1.forecast(f=na) ICIf

' set sampl to obtain the 5th period observation

smpl {%5pere} {%5pere}

' store forecasts

fcast = ICIf

next

smpl @all

show coefmat

show fcast.line

d(noerr) ser