Dynamic Model Averaging
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Dynamic Model Averaging
This thread is about the dma addin that performs Dynamic Model Averaging (Koop and Korobilis 2012).
Re: Dynamic Model Averaging
Hi,
may I ask: in the example file is a command line of the code as such
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart employ tbill spread djia money infexp comprice vendor
I am confused about what the 4 5 digits mean. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
Thank you
Martin
may I ask: in the example file is a command line of the code as such
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart employ tbill spread djia money infexp comprice vendor
I am confused about what the 4 5 digits mean. I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
Thank you
Martin
Re: Dynamic Model Averaging
4 is forecast horizon. 5 is transformation code (log difference) for dependent variable.I am confused about what the 4 5 digits mean.
the following code with 2 exogenous variables is working.I tried estimating the model using the combo box but I keep getting an error msge: "3 is not a valid index for vectorseriescoefficient tcode". I am estimating model with 2 exogenous variables
Code: Select all
dma(phlag="2 0", sample="1960q1 2008q2") gdpdefl 4 5 t_code @ unemp hstart
Re: Dynamic Model Averaging
Dear dakila,
I made a mistake contructing the vector t_code for my own exercise. I did not know that the dependent variable is not to be included in the vector of transformations.
Thank you for this awesome addin !
I made a mistake contructing the vector t_code for my own exercise. I did not know that the dependent variable is not to be included in the vector of transformations.
Thank you for this awesome addin !

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hello, I have Eviews 9.5. I downloaded the dma addins and installed it but can’t find any supporting materials with the instructions of how to use it. particularly, what is the vector transformation code? many thanks
Re: Dynamic Model Averaging
The instruction pdf file is located in C:\Users\...\Documents\EViews Addins\DMA\dma.pdf
code explanation
1 Level
2 First Difference
3 Second Difference
4 LogLevel
5 LogFirstDifference
6 LogSecondDifference
code explanation
1 Level
2 First Difference
3 Second Difference
4 LogLevel
5 LogFirstDifference
6 LogSecondDifference

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hi dakila, I am sorry my ignorance, but that file should be located in my C: folder after I installed the addin?
I can't find that file name in my machine.
Or is it located in this website?
Thanks,
Carolina
I can't find that file name in my machine.
Or is it located in this website?
Thanks,
Carolina

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hi dakila,
Can you explain what is the difference of the 3 outputs we get from your addin?
My dependant variable is y and after running the DMA program I get y_t_, y_t_best01, y_t_dma01
Thanks
Can you explain what is the difference of the 3 outputs we get from your addin?
My dependant variable is y and after running the DMA program I get y_t_, y_t_best01, y_t_dma01
Thanks
Re: Dynamic Model Averaging
y_t_ is the transformed dependent variable.
y_t_best is dynamic model selection forecast (best model forecast).
y_t_dma is dynamic model averaging forecast.
y_t_best is dynamic model selection forecast (best model forecast).
y_t_dma is dynamic model averaging forecast.

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
hi dakila, why my resulted transformed variable is different from the dependent variable even if the transformation code used is 1 (level) and a forecasts horizon of 6 (months)?
I would like to transform back the best forecasts series but I can't understand how y_t was transformed initially and why.
many thanks
I would like to transform back the best forecasts series but I can't understand how y_t was transformed initially and why.
many thanks
Re: Dynamic Model Averaging
That is bug in the addin. I will fix it soon.

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
Hi Dakila,
I have seen that the resulted Y_T, Y_OUT_BEST and Y_OUT_DMA are exactly TWO TIMES the value of the original variable. When I do Out of Sample forecasts should I assume that Y_T_BEST01 and Y_T_DMA01 are also two times the value of the correct forecast?
Additionally, is there a way of getting the charts for the changing coefficients across time? So I can see how the latest forecasts are calculated.
Thanks,
Carolina
I have seen that the resulted Y_T, Y_OUT_BEST and Y_OUT_DMA are exactly TWO TIMES the value of the original variable. When I do Out of Sample forecasts should I assume that Y_T_BEST01 and Y_T_DMA01 are also two times the value of the correct forecast?
Additionally, is there a way of getting the charts for the changing coefficients across time? So I can see how the latest forecasts are calculated.
Thanks,
Carolina
Re: Dynamic Model Averaging
sorry I don't understand your question. What is the original variable. Is it left handside variable(y_t)? take an example.
in the future I will try to include the changing coefficients.
in the future I will try to include the changing coefficients.

 Posts: 7
 Joined: Tue Apr 10, 2018 2:46 pm
Re: Dynamic Model Averaging
My left hand side variable name is FTSE_REL, the resulted output gives a Y_T_ series that is exactly twice the value of FTSE_REL, even though no transformation is instructed in the code.
Moreover, Y_T_BEST and Y_T_DMA are the same as Y_T_ (twice FTSE_REL) for the whole sample period until the end of the sample period (2018m06), after that, they provide two different set of forecasts (6M forecast horizon in my case).
Additionally, I get Y_T_BEST01 and Y_T_DMA01 that are different that Y_T_ for the entire sample time period but do not provide forecasts after 2018m06.
Would you mind explaining to what corresponds each of these resulted series?
Moreover, Y_T_BEST and Y_T_DMA are the same as Y_T_ (twice FTSE_REL) for the whole sample period until the end of the sample period (2018m06), after that, they provide two different set of forecasts (6M forecast horizon in my case).
Additionally, I get Y_T_BEST01 and Y_T_DMA01 that are different that Y_T_ for the entire sample time period but do not provide forecasts after 2018m06.
Would you mind explaining to what corresponds each of these resulted series?
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