Back testing

[NurfatimaD]

Hello, everyone!

Is it possible to run a back-testing in EViews? Or maybe there is a special function which could replicate the same program over different sample periods?

Thank you!

[EViews Gareth]

What do you mean by back-testing?

[trubador]

Is it possible to run a back-testing in EViews?

Yes, EViews has all the necessary features and functions you need to perform backtesting. Since it will require a bit of coding, you may find it useful to learn EViews' programming language. Besides the manual, you can also refer here: http://forums.eviews.com/viewtopic.php?f=5&t=1638#p5508

[NurfatimaD]

Is it possible to run a back-testing in EViews?

Yes, EViews has all the necessary features and functions you need to perform backtesting. Since it will require a bit of coding, you may find it useful to learn EViews' programming language. Besides the manual, you can also refer here: http://forums.eviews.com/viewtopic.php?f=5&t=1638#p5508

I have viewed the page you posted the link to. But there are mainly some basic commands for equations. I made a model to forecast inflation 1-2M ahead (could be even more, but the error must be large) based on x12 deseasonalization process. I wrote a program that would perform all the steps just by clicking the button run. But in order to do back testing I have to set the sample end each time manually. So in fact I was wondering if there is a way that EViews performs backtesting (sometimes called backcasting) so that I do not need insert the same program but with different samples hundred times. If you know a specific command lines, could you please share them with me?

Thanks!

[trubador]

Just put a For-Loop around your program that changes the sample at each stage. For instance, the following code would run from "2002m08 2010m11" to "2004m04 2012m07" period and produce 21 outputs.

Code: Select all

%pagesmpl = @pagesmpl 'initial position of the sample %sampend = "2012m07" 'end period of the backtesting sample !sampsize = 100 'number of observations to be used in the estimation for !i=20 to 0 step -1 'repeat the analysis starting from 20 periods back smpl {%sampend}-!i-!sampsize+1 {%sampend}-!i .... .... next smpl {%pagesmpl} 'do not forget to change the sample back