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I am following these steps to calculate a confidence interval: 1. Estimate the regression coefficients 2. Keeping these residuals as the original sample, generate B bootstrap samples. Then calculate bootstrap Y∗b,i values for each observation in the bootstrap sample. 3. Regress the bootstrapped Y∗b,...

Could you please help?
The confidence intervals from the solved VECM model become too large when transformed back from LOG. Hence I need another way to calculate confidence intervals around my mean forecast.

I want to create a distribution and confidence interval around the forecasted mean with bootstrapping. Please tell me if this is the correct way: 1. Create a VECM 2. Make residuals (from the VECM) 3. resample the residuals to my forecast period (2015-2040) 4. Add the resampled residuals to my foreca...

Yes, I wonder how I can by resampling the residuals from the model create the distribution and confidence intervals for my simulated prices? Could you please tell me the steps. My confidence intervals from solving the model and transforming back from LOG are too wide, so I would like to resample the...

I am trying to simulate the prices of Oil and Gas. When simulating in LOGprices I get a very big confidence interval once I transform back to real prices, so I would like to sample a distribution from my historic prices and create a distribution on my simulated prices? How do I do this in Eviews? An...

I am modelling a cointegration with VECM and I have a question regarding the confidence intervals obtained. My model builds on the cointegration relationship between Oil and Gas prices, and these are the only two variables in the VECM with different lags. I am looking at the difference in the predic...

Hi, I have done the cointegration and VECM on Oil and Gas. Please take a look at the graphs attached. The data have been made to 1st difference and then checked for cointegration and applied in the VECM model. In my opinion the gas graph looks good and "reverts" around a mean, but the Oil ...

I have solved a VECM model. In the "Solve" menu of the model you can select confidence interval (by standard set to 95%), but I want to generate 60%, 70%, 80% and 90% in addition. How do I do that? Is there a quick way to generate these confidence intervals?

Thanks a lot! It worked very well.
As I have a sample from 2000-2014 how far would you recommend to forecast? Are there any "rules", "rule-of-thumb" or guidelines on how many periods/years one should estimate?

Thank you for clarification, I am quite new to this.
I have data for both until 2014, how would I forecast the future LN_Brent and LN_NBP if they are cointegrated?

No I have not. How should I approach this?

Hi, I have arrived at an equation via the cointegration test process and eliminating insignificant variables: D(LN_NBP) = C(1)*( LN_NBP(-1) - 0.860929243883*LN_BRENT(-1) + 0.266786377636 ) + C(4)*D(LN_BRENT(-1)) + C(6) When trying to forecast EViews only forecasts one step forward (I have data jan20...