FcastDecomp add-in

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CrisisStudent
Posts: 30
Joined: Mon Nov 16, 2020 10:52 am

FcastDecomp add-in

Postby CrisisStudent » Wed Apr 14, 2021 9:26 am

This is post for FcastDecomp add-in. The add-in creates graph that decomposes forecast for left-hand side variable into individual drivers, i.e. right-hand side variables multiplied by coefficient. If two scenarios are specified then graph will display difference in forecast drivers between first and second scenario.

The purpose of this add-in is interpreting forecasts. This can be either historical or individual scenario forecast, or difference between two scenario forecasts, say alternative scenario forecast and forecast baseline. The tool allows modeller/forecaster to understand how does each individual regressor contribute to the overall forecast shape. In model development context the add-in also helps with understanding the magnitude of responses to shocks.

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