multistep forecast vecm

[mirror]

Hi together!

I have the following code for a rolling regression of a VECM; my question is, how can I manipulate this code to create 4-step and 5-step ahead static forecasts for variables a and b and store them in different vectors? Thanks alot for comments :)

'set window size
!window=400

'get size of workfile
!length=@obsrange

'set step size
!step=1

'declare equation for estimation
var vecm

'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
vecm.ec(c,1) 1 5 a b
vecm.makemodel(vecmod)
next

[EViews Gareth]

Set the sample to be four steps ahead of the estimation sample, then solve the model.

[mirror]

Oh sorry, I meant dynamic forecast; so that I get 4, 5, 6 and 7 steps out of sample forecasts for a and b.

[mirror]

So if I want to do dynamic multistep ahead out of sample forecasts I just have to enlarge the sample and solve the model? If yes, how can I save my 4-,5-,6- and 7-steps ahead forecasts in a vector? Have tried out different fixes, but somehow it doesn't work out... Any hints? Thx alot!

[NicolasR]

Hi mirror,

one easy way to do it is saving the forecasts in a matrix. I do it like this,i think it work, you just have to change the ahead scalar:

Code: Select all

'set window size !window=400 'get size of workfile !length=@obsrange 'set step size !step=1 'declare equation for estimation var vecm '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 vecm.ec(c,1) 1 5 a b vecm.makemodel(vecmod) 'our of sample forecast !ahead=5 '---------------------------------- smpl @first+!i+!window-2 @first+!i+!window-2+!ahead vecmod.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

I hope I have helped.Regads.

[mirror]

Hi! Thanks alot! I will try that later on....

[mirror]

Hi again, sorry for that stupid question, but I don't really have to change the !ahead value , right? I just have to put the highest h (in my case 7) in there and get all other forecasts for h=1,2,3,4,5,6,7 in that matrix as well.

[NicolasR]

No, you don´t have to change the value, you can keep it in seven, I said it in the case you wanted more forecasting ahead steps than five. I have a question,are you sure that the cointegration relationship remains across the time window?

[mirror]

Well, somehow I have to rely on it, although it's not that unrealistic in my case. :D

[mirror]

Another question: When you change the sample here

'out of sample forecast
!ahead=12
smpl @first+!i+!window-2 @first+!i+!window-2+!ahead
vecmod.solve

Does the code really use past values, because for my dynamic forecasts I need past values (5lags) and forecasted values (at least for h>5). Thx!

[NicolasR]

It uses the 400 past values in the sense that you estimate the model with this data, but the forecast are out of sample dynamic.