How do I perform forecast evaluation if some of the coefficients must equal one?
For example, how to do forecast evaluation for these two models:
y = c(1)y(1)
y = c(2)y(1) + c(3)x1 + c(4)x2
with the condition that c(3) and c(4) are both equal to one, i.e. c(3)=c(4)=1?
Thanks!
Constrained Coefficients
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Constrained Coefficients
Last edited by Laurel on Thu Mar 11, 2021 8:46 pm, edited 1 time in total.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12912
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Forecast Evaluation with Constrained Coefficients
Question is a little vague.
Forecast evaluation has nothing to do with whether the coefficients are constrained or not.
Forecast evaluation has nothing to do with whether the coefficients are constrained or not.
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Re: Forecast Evaluation with Constrained Coefficients
Ok. To clarify, I have time series data y, x1, and x2. How do I estimate
y = c(1) + c(2)y(1) + c(3)x1 + c(4)x2
with the condition that c(3) and c(4) are both equal to one, i.e. c(3)=c(4)=1?
Thanks!
y = c(1) + c(2)y(1) + c(3)x1 + c(4)x2
with the condition that c(3) and c(4) are both equal to one, i.e. c(3)=c(4)=1?
Thanks!

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12912
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Forecast Evaluation with Constrained Coefficients
Code: Select all
ls Y=c(1) + c(2)*Y(1) + c(3)*X1 + (1c(3))*X2
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Re: Forecast Evaluation with Constrained Coefficients
I mean c(3)=1 and c(4)=1, not c(3)+c(4)=1. Thanks.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12912
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Forecast Evaluation with Constrained Coefficients
Ah, sorry I misread.
Code: Select all
ls Y=c(1) + c(2)*Y(1) + X1 + X2
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Re: Forecast Evaluation with Constrained Coefficients
How exactly do I type that onto the command window without Eviews computing the coefficients for c3 and c4?
Thanks!
Code: Select all
ls y c y(1) x1 x2
Thanks!

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12912
 Joined: Tue Sep 16, 2008 5:38 pm
Re: Forecast Evaluation with Constrained Coefficients
Just what I put in.
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Re: Forecast Evaluation with Constrained Coefficients
Ah, that worked. Thank you so much :)
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