Rolling Window Forecast with a VAR Model

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tmz
Posts: 6
Joined: Wed Aug 12, 2015 12:21 pm

Rolling Window Forecast with a VAR Model

Postby tmz » Thu Sep 22, 2016 1:02 pm

Hi,

I’m trying to run a rolling window forecast with a VAR model. I found a program on this forum (at this page: viewtopic.php?t=9752) that I took as a starting point, see below.

My situation:
Observations: 212 (sample: 1999m01 – 2016m08)
Fixed estimation period (rolling window): 156 observations (starting with the sample: 1999m01 – 2011m12)
Forecast horizons: 1 to 8

My goal is to obtain 8 series of forecasted observations, each series corresponding to a different forecast horizon. So, the forecast series with h=1 should have 56 observations (from 2012m01 to 2016m08), the forecast series with h=2 should have 55 observations (from 2012m02 to 2016m08) and so on. My question is, starting with the program below, how can I obtain the 8 forecast series?


Code: Select all

'set window size
!window=156

'get size of workfile
!length=@obsrange

'set step size
!step=1

'declare equation for estimation
var var1

'calculate number of rolls
!nrolls=@round((!length-!window)/!step)

'variable keeping track of how many rolls we have done
!j=0

'move sample !step steps at a time
for !i=1 to !length-!window+1-!step step !step
!j=!j+1
' set sample to estimation period
smpl @first+!i-1 @first+!i+!window-2

' estimate equation
var1.ls 1 3 a b
var1.makemodel(mod1)

'out of sample forecast
!ahead=8
'----------------------------------

smpl @first+!i+!window-2 @first+!i+!window-2+!ahead
mod1.solve

  for !h=1 to !ahead
    if !h+!i+!window<!length then
    matrix(!ahead,!length-!window) forecasts_a(!h,!i)=a_0(!h+!i+!window-1,1)
    matrix(!ahead,!length-!window) forecasts_b(!h,!i)=b_0(!h+!i+!window-1,1)
    else
    smpl @first @last
    endif
  next
next

Ekhlas Alhajj
Posts: 1
Joined: Tue Jan 04, 2022 6:55 am

Re: Rolling Window Forecast with a VAR Model

Postby Ekhlas Alhajj » Wed Jan 05, 2022 6:18 am

I need to ask when the output come it come in rows like upside down?


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