Eviews13 vs Eviews12 - Different forecast output with VECM that includes exogenous variables

[Eddy360]

Hi Eviews team,

When upgrading to Eviews13 from 12, we noticed that our existing VECM models which uses exogenous variables (e.g. date intercept dummies) were producing different forecasts given the same data set. I presume this is most likely due to new functionality introduced with Eviews13 that allows the user to specify between short-run vs long-run co-efficients for the exogenous variables. However, even after re-estimating the VECMs by including the exogenous variables outside the co-integrating equation (like in Eviews12) we were unable to replicate the Eviews12 forecast output in Eviews13.

I have attached a work file named “Eviews12_workfile” to demonstrate this. Opening the work file in Eviews12, The VAR object and forecasts are produced by running the following commands:

Code: Select all

eviews12_var.ec(c,1) 1 2 debit_value credit_value rt_total @ @expand(@month,@droplast)
smpl 2022m08 @last
eviews12_var.forecast(g, e) f

Now if I reopen the same work file in Eviews13, and perform the same steps as above, I will arrive at different forecasts. Keen to understand what is driving this discrepancy and how I can specify the Eviews13 options to reconcile the two results.

I also noticed in Eviews13’s estimation output window for the VECMs, it only shows the co-efficient of the first date dummy as opposed to Eviews12 - which shows all of them. I.e. Specifying

Code: Select all

@ @expand(@month,@droplast)

In the short-run window only shows the slope dummy for ‘@Month=1’ in Eviews13.

[EViews Mirza]

Hi!

Thanks for bringing this to our attention. This looks like something we need to address. We're working on a fix.

Mirza

[Eddy360]

Thanks Mirza for looking in this. Do you have a approximate turn around time for the fix? Most of my team no longer have access to Eviews12 as Eviews13 was rolled out as a replacement to Eviews12 from my internal IT department.

[EViews Mirza]

We'll get this out soon. Most likely this week.