Dear colleagues,
I have created an var2 model by following command: var var2.ls 1 2 a(-10) b(-10).
With this model I want to forecast the 10th period in the future directly.
But when I use the command "makemodel", an error message appears: " a is not a variable in the model in ":var2" ".
Has anybody an idea, where my mistake is?
The error doesn't appear, when I use a var model like this: var var2.ls 1 2 a b
Greetings
Direct Forecasting with VAR Models
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Re: Direct Forecasting with VAR Models
Harvard wrote:Dear colleagues,
I have created an var2 model by following command: var var2.ls 1 2 a(-10) b(-10).
With this model I want to forecast the 10th period in the future directly.
But when I use the command "makemodel", an error message appears: " a is not a variable in the model in ":var2" ".
Has anybody an idea, where my mistake is?
The error doesn't appear, when I use a var model like this: var var2.ls 1 2 a b
Greetings
EViews is often unhappy with a lagged (or lead) variable on the left of an equation in which a variable is being generated. My speculation is that you are effectively getting a(-10) on the left.
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Re: Direct Forecasting with VAR Models
This is probably a bug, and we're looking into it.
In the meantime, is there any particular reason to specify the VAR that way, its really the same thing as:
var var2.ls 1 2 a b
but estimated over a different sample (just put the estimation sample 10 periods back).
In the meantime, is there any particular reason to specify the VAR that way, its really the same thing as:
var var2.ls 1 2 a b
but estimated over a different sample (just put the estimation sample 10 periods back).
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Re: Direct Forecasting with VAR Models
O.K. Thanks for your help. I think for my calculations the following command will be sufficient: var var2.ls 10 11 a b
Greetings
Greetings
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