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I guess so because I am supposed to apply a forecast combination technique using principal components...... what I have done so far is to check the significant Eigen value and determine how many principal components to use (in which case was mostly one even though I had 8 variables) then I run a reg...

thank you so much for your response.

Please how do I use principal components to generate pseudo out of sample forecasts...is it possible to use principal components to generate forecasts on eviews. If yes please how can I do it.

Hi, Please I am very new to E-views but luckily I have learnt a lot. I would like to know how to generate h-step ahead forecasts for a recursive window. i.e 1980q1 to 2010q4 to estimate 2011q1 and then 1980q1 to 2011q1 to estimate 2011q2. Mainly to get the Mean squared error I wouldn't mind having t...