Forecasting issue in SVAR with Exogenous variable

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essa
Posts: 9
Joined: Tue Aug 30, 2022 12:34 pm

Forecasting issue in SVAR with Exogenous variable

Postby essa » Thu Feb 23, 2023 11:20 am

Hi everyone. I am estimating SVAR with exogenous variable using model. However, the model solution does not forecast the model over the workfile range and gives the following error message:
Sample: 1976Q1 2028Q4
Solve Options:
Dynamic-Deterministic Simulation
Solver: Broyden
Max iterations = 5000, Convergence = 1e-08

Scenario: Baseline
Solve begin 21:19:04
2020Q2 NA generated for LNEXP
Solve terminated - Unable to compute due to missing data in "LNEXP = @COEF(1) * LNEXP(-1) + @COEF(2) * LNEXP(-2) + @COEF(3) ...

Further, I have used lags of exogenous variable on the right side of the equation and the data set does not contain any missing value. I need help over how to solve the model for the forecasted period. Thanks in advance!

EViews Gareth
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Re: Forecasting issue in SVAR with Exogenous variable

Postby EViews Gareth » Thu Feb 23, 2023 12:02 pm

Hard to say without having the workfile.
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essa
Posts: 9
Joined: Tue Aug 30, 2022 12:34 pm

Re: Forecasting issue in SVAR with Exogenous variable

Postby essa » Thu Feb 23, 2023 1:01 pm

EViews Gareth wrote:Hard to say without having the workfile.

EViews Gareth
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Posts: 13319
Joined: Tue Sep 16, 2008 5:38 pm

Re: Forecasting issue in SVAR with Exogenous variable

Postby EViews Gareth » Thu Feb 23, 2023 2:52 pm

You have debt as an exogenous variable, and have no data for debt during those solution periods.
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essa
Posts: 9
Joined: Tue Aug 30, 2022 12:34 pm

Re: Forecasting issue in SVAR with Exogenous variable

Postby essa » Sat Feb 25, 2023 6:30 am

EViews Gareth wrote:You have debt as an exogenous variable, and have no data for debt during those solution periods.

Thank you for the reply. Yes, I used debt as an identity and added it into the model as :
m_baseline.append debt_0 = (1+ir_0)/(1+inf_0)/(1+dy)*debt_0(-1) - (lnexp_0-lntax_0)/lngdp
where all the variables are endogenous and for the left out exogenous variable dy I added values, still the model solution does not forecast and gives the following error message:

Unable to compute due to missing data in "DEBT_0 =
(1+IR_0)/(1+INF_0)/(1+DY)*DEBT_0(-1) - (LNEXP_0-LNTAX_0)
/LNGDP" in "M_BASELINE.SOLVE" on line 13.

The work file is attached. Please suggest me how to solve this issue. Thank you so much


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