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Forecasting with a BVAR
Posted: Thu Aug 28, 2014 8:20 am
by EviewsUser1
I estimated a BVAR with Minnesota priors, then I created a model, then I solved it to get a one-step ahead forecast for a single time period (2014:Q3) which is one-quarter beyond the end of my sample.
The forecasts are all zero except for one variable (the first variable in teh variable list has a non-zero forecast). What did I do wrong?
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 8:47 am
by EViews Gareth
We'd need to see the workfile/VAR/Model.
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 10:22 am
by EviewsUser1
let me know if you need to see more:
var var_test.bvar(prior=lit) 1 5 lctgh lcsh lfneh lfnph lfrh lfnsh lxmh lxsh lmmh lmsh lgfh lgsh vh_y
var_test.makemodel(bvarmod)
smpl 2014:3 2014:3
solve bvarmod
stop
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 11:24 am
by EViews Gareth
We'll need the workfile.
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 11:48 am
by EviewsUser1
workfile is attached
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 11:57 am
by EViews Gareth
Is your copy of EViews 8 up to date?
The BVAR that's in your workfile hasn't estimated properly (open it and look at the coefficients). Yet if I re-estimate it, it works fine.
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 12:57 pm
by EviewsUser1
yes, I can get it to estimate the BVAR, but then when I solve the model all of the coefficients go back to zero
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 1:21 pm
by EViews Gareth
What is the build date of your copy of EViews? (Help->About EViews)
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 1:28 pm
by EviewsUser1
Jun 19 2013
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 1:32 pm
by EViews Gareth
You should update to the latest version.
Re: Forecasting with a BVAR
Posted: Thu Aug 28, 2014 2:03 pm
by EviewsUser1
That worked! Thanks.