BVARs and fcast

[Sharky]

Hi

I am using the fcast add-on to forecast with VARs. It works fine with the ECM (.ec) but when I tell it to fcast all the series using the .bvar, several of the series don't forecast out of sample. Oddly, one (the first) does.

Does anyone have any idea whether there are any known issues in using fcast with BVARs?

[Sharky]

I've tried using makemodel and solving for forecasts that way but get the same problem so maybe this shouldn't be in "Add-in support"...

Code: Select all

for !ii=!m to !b-1 'EXPAND smpl @first @first+!ii var brecvar.bvar(NOCONST,prior=lit) 1 4 c_ inve y labobs robs pinfobs w brecvar.makemodel(bvarmodel) smpl @first+1+!ii @last bvarmodel.solve brecvar.fcast _bf brecvartab(!ii-!m+1,1) = c__0(!ii+2) brecvartab(!ii-!m+1,2) = inve_0(!ii+2) brecvartab(!ii-!m+1,3) = y_0(!ii+2) brecvartab(!ii-!m+1,4) = labobs_0(!ii+2) delete c__bf inve_bf y_bf labobs_bf robs_bf pinfobs_bf w_bf next

gives zeros for the forecast period for inve_0

Code: Select all

Last updated: 08/16/16 - 16:46 Modified: 1988Q4 2014Q3 // bvarmodel.solve 0.000000 1.745513 3.931802 6.590199 8.559823 7.236351 5.592367 2.197469 -0.715824 0.886564 0.644268 2.695389 4.685949 3.611336 3.935830 5.879947 8.245010 7.782273 7.867575 4.651494 2.420262 0.073466 -0.063016 -1.603982 -0.026416 2.730538 3.720697 5.191887 7.284921 8.344859 8.523570 12.20743 15.28286 15.30807 14.20564 11.52735 8.316766 6.661362 4.632351 -1.573486 -7.648966 -9.031301 -8.184192 -7.525205 -4.495301 -3.245115 -3.032536 0.394131 3.603058 8.345976 9.941303 10.62400 11.00101 17.25353 19.17401 20.23301 20.25606 18.62860 19.66837 17.83569 15.80006 5.647101 5.482860 8.201159 8.303956 8.430868 7.549430 5.756958 1.970574 -2.368052 -6.878626 -8.601699 -8.442075 -6.353533 -2.605177 1.615638 2.955661 5.846936 6.564426 7.002119 6.383877 6.279089 5.056519 5.948848 5.245713 4.639691 3.900586 3.858780 0.713716 1.097559 1.655001 0.763065 0.053990 0.907241 -0.093625 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000

When I run the same code with .ec instead of .bvar it works fine.

[EViews Gareth]

Which version/build date of EViews?

[Sharky]

Eviews 8 (x64)

[EViews Gareth]

Build date? (Help->About EViews).

[Sharky]

Mar 22 2013

[EViews Gareth]

That's very out of date. Update to the latest version.

[Sharky]

I've got it through my university. Is it possible to update without them doing so for the whole department? Or do I need to wait for that?

[EViews Gareth]

I don't know the details of your particular install. Try it and see?