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Hi SweivE I am trying to calculate the mean squared prediction error for the one month step ahead out of sample forecasting with rolling window forecasting and recursive window forecasting scheme. But, I don't know how to write the code following with below program. Please can you help me? Many Than...

Hi, Many Thanks But, I am not sure how exactly I shall use the @sumsq in the loop. please can you explain how to write the code? is it something like below. 'create some data wfcreate u 100 'rolling window size window=20 'create some series series y =nrnd series yf =nrnd %actual=@elem(y,@otod) %fit=...

I'm not sure if I can tell if that is correct or not. Hi Gareth Please could you advise how to write the code to calculate the mean squared prediction error depending on the rolling forecast? I have problem to write code for a loop of calculation the mspe value. For example. firstly, using the firs...

Hi,

There is a printing error in the Eviews7 commands and programming reference page 75.

• @upper(str): returns the upper case representation of the string str.
@length("I did not do it")
returns the string “I DID NOT DO IT”.

This should be @upper(“I did not do it”)

Dongya

Hi, Gareth, Thanks a lot. I have got another question. suppose if I have data from 1999m1 to 2011m4. Then, the forecasting window is from 2007m1 to 2011m4. And, I want to obtain the mean squared error prediction error for 2007m1, 2007m2, 2007m3.......2011m4 each one month ahead. So. there will be 52...

Hi, Gareth Thanks for your reply. Please can you show me what's the right way to do the one step ahead forecasting? I have modified the code as below. '4-period-ahead forecast %4pers = @otod(@dtoo(%start)+!i+!window-1) 'start point %4pere = @otod(@dtoo(%start)+!i+!window) 'end point compare with the...

hi, I want to estimate the random walk model y=y(-1)+e with 148 data. Then I want to obtain the mean squared forecasting error for each one step ahead forecasting. The estimation window is from observation 1 to 96, and the forecasting window is from 97 to 148. So the window size is 96. I have write ...

What have you done so far? Hi, Many Thanks for the reply. To be honest, I haven't done much. :-(. I am totally new to programming. But, I have run the test of forecasting equation with data from 1999m1 to 200612. I have also tried to change the Esther's code to fit my work, but, it didn't work. I w...

Hi all, I have same question as above My forecasting equation is: Exchange rate=a_1+a_2*inflation+a_3*outputgap+a_4*real exchange rate+a5*interest rate differential I want to run the out-of sample forecasting test with both rolling window forecasting scheme and recursive window forecasting scheme. I...

You might find Esther's program here: http://forums.eviews.com/viewtopic.php?f=15&t=878 useful. It performs rolling forecasts, which is, I think, what you're describing. Thank you for the answer, I will definetely spend some time trying to implement that basic rolling regression program. I'm so...

Hi, Thank you very much for your reply. I want to do the one month ahead out-of sample forecasting. I have data from 1999m1 to 2011m4. and I want to forecast the period of 2008m1 to 2011m4. Then, I want to calculate the mean squared prediction error for the models. But, I don't understand what is mo...

Hi, I am new to this forum. Aslo, I am new to Eveiws. I want to ask if anyone know how to conduct the rolling regression forecasting on Eviews 7. I want to test four exchange rate determination models and do the out of sample forecasting. Then I want to obtain the mean squared prediction errors for ...