Glenn,
I have a simple linear trend with AR2 (or, precisely lagged dependent variable) model as follows:
yt=a0+a1*y(t-1)+a2*y(t-2)+bt+et. Can you please explain how the eviews come up with a three-step-ahead forecast s.e. as an illustation? I assume it is not based on the delta method. Many thanks.
Search found 3 matches
- Tue Nov 08, 2011 4:07 am
- Forum: Estimation
- Topic: Coef uncertainty in SE calc for equations with ARMA
- Replies: 2
- Views: 3240
- Thu Apr 21, 2011 2:27 pm
- Forum: Estimation
- Topic: State space out-of-sample forecast
- Replies: 6
- Views: 7891
Re: State space out-of-sample forecast
Glenn, many thanks for the excellent explanation. Sorry for the confusion in my second question. What I really want is a 1-step (or 2-step) ahead forecast for each year in the period of 1980-2009. What I did was: first estimate the Kalman filter using data up to 1979; then under "Forecast"...
- Thu Apr 21, 2011 11:51 am
- Forum: Estimation
- Topic: State space out-of-sample forecast
- Replies: 6
- Views: 7891
State space out-of-sample forecast
First of all, I am using Eviews 6. Really confused about the difference between dynamic forecast and n-step ahead forecast of the state space models. I have a state space model as follows: @signal y = c(1)*y(-1) + c(2)*y(-2) + sv1 + sv2*t + [var = exp(c(3))] @state sv1 = c(6) + c(7)*sv1(-1) + [var =...