Forecasts as differenced data vs actual data

[hlearner]

I created a model in second differences. My equation is d(y,2) = c + mx + AR(1).
If I am working in static space, under "forecast equation," I am given the option to forecast d(y,2) OR y.
How is it that when I forecast "y", the second differences of this forecast do NOT equal the forecast values of d(y,2)?

More importantly, given a forecast of d(y,2) how do I convert this to equal the forecast eviews is giving me for y?

Thank you.

[EViews Gareth]

When performing a static forecast, actual values of lags of the dependent variable are used, rather than forecasted values.

When you forecast D(Y) you're actually forecasting Y - Y(-1). In a static forecast you always use actuals for lagged values, so that the forecast is:

Code: Select all

YF - Y(-1)

Where as D(YF) is:

Code: Select all

YF - YF(-1)

Hence the difference.

[hlearner]

Thank you for your prompt answer. This makes sense now and I could derive the same output as eViews.