EViews.com

Hello, I need to generate 12-step ahead out of sample forecasts for a basic AR(1) model By construction the forecasts generated from an AR(1) process have to display a decaying property. However, I do not seem to be getting this result. Instead my forecast series is upward sloping and then sort of l...

thanks a lot. that makes complete sense

Re-estimating the equation using the forecasted values will not do anything. Adding more rows of forecasted values does not change the coefficient estimates. also, do you only mean this is true for an AR1 process? because I plan on using more sophisticated equations too but just asked about AR1 for...

really? could you please briefly explain why? it seems to me that adding new data to a series would change its coefficient in the equation..

Hello, I need to do the following: Generate out of sample forecasts for a basic AR(1) model. This is easy to do BUT: After each step, I need to re-estimate the equation treating the previous forecasted value as an actual observation, then generate the next step ahead forecast and so on.. Using dynam...