HOW TO GET H-STEP AHEAD FORECASTS

[sofie hunt]

Hi,

Please I am very new to E-views but luckily I have learnt a lot. I would like to know how to generate h-step ahead forecasts for a recursive window. i.e 1980q1 to 2010q4 to estimate 2011q1 and then 1980q1 to 2011q1 to estimate 2011q2. Mainly to get the Mean squared error
I wouldn't mind having the commands, I am using both eviews 7 and 8 but mostly 7.

Also how to do the same using a VAR model along with the Mean squared error also.

And lastly how to do the Diebold and Mariano test on eviews, as I do not seem to find it.

Thank you.

[EViews Gareth]

None of the things you describe are built in to EViews, you'll have to program them yourself.

http://forums.eviews.com/viewtopic.php? ... 848#p14848

[sofie hunt]

thank you so much for your response.

Please how do I use principal components to generate pseudo out of sample forecasts...is it possible to use principal components to generate forecasts on eviews. If yes please how can I do it.

[EViews Glenn]

Do you mean principal components scores for the observed or forecasts?

[sofie hunt]

I guess so because I am supposed to apply a forecast combination technique using principal components......

what I have done so far is to check the significant Eigen value and determine how many principal components to use (in which case was mostly one even though I had 8 variables) then I run a regression on the dependent variable with the 1 PC to get my forecast series and error

However I am not sure of this procedure