Search found 4 matches
- Fri Aug 12, 2011 11:28 am
- Forum: Estimation
- Topic: Out of Sample Forecasting using a VAR as a Model
- Replies: 6
- Views: 8028
Re: Out of Sample Forecasting using a VAR as a Model
You're right. Thanks! I did not realize that.
- Thu Aug 11, 2011 6:13 am
- Forum: Estimation
- Topic: Out of Sample Forecasting using a VAR as a Model
- Replies: 6
- Views: 8028
Re: Out of Sample Forecasting using a VAR as a Model
Hi, thanks for responding again. I see a little problem with your setting in the following sense: When you create these series up until 2010 in the following line create q 1980 2010 series resm11 = nrnd series dvar10 = nrnd they would feed the 'model' for forecasting (for the out of sample forecast ...
- Wed Aug 10, 2011 2:36 pm
- Forum: Estimation
- Topic: Out of Sample Forecasting using a VAR as a Model
- Replies: 6
- Views: 8028
Re: Out of Sample Forecasting using a VAR as a Model
Hi, thanks for answering. This is my program: 'Sample Size of workfile smpl 1980q1 2010q4 'Estimating the Cointegrating vector via OLS smpl 1980q1 2010q4 smpl 1980q1 2004q4 equation longrun11.ls impor c var02 var07 'Saving Residuals series resm11=resid smpl 1980q1 2004q4 'Estimating VECM with Residu...
- Wed Aug 10, 2011 2:07 pm
- Forum: Estimation
- Topic: Out of Sample Forecasting using a VAR as a Model
- Replies: 6
- Views: 8028
Out of Sample Forecasting using a VAR as a Model
Hi, please help me with this issue. I noticed that there is no way of making an out of sample forecast using the model option, say a VAR. This seems a little strange since there is an option for doing dynamic forecasting, using previously forecasted predetermined and exogenous variables, when doing ...