Recursive dynamic forecasts

[ylijohtaja]

Hi all

I would need to derive forecasts from ARMA-GARCH and VAR models in a manner that does not seem to be readily available in Eviews:

1. I have estimated a 3-variable VAR model, using data for the whole existing sample period 1975Q1-2012Q4). I would like to use the estimated VAR coefficients (based on the full sample period) to compute dynamic forecasts for the period t+1 – 2019Q4 for each variable for each time point t between 1976Q1-2012Q4. That is, I would need 37*4=148 dynamic forecast series using the ‘fixed’ VAR coefficients – first dynamic forecast series for the period 1976Q2-2019Q4, then for 1976Q3-2019Q4 and so forth.

2. I would need the same kind of dynamic forecast series for the period t+1 – 2019Q4 for each variable for each time point t between 2002Q4-2012Q4 using recursively estimated VAR coefficients: the first dynamic forecast series would be for the period 2003Q1-2019Q4 using VAR coefficient estimated using data for 1975Q1-2002Q4, the second series would be for the period 2003Q2-2019Q4 using VAR coefficients estimated based on 1975Q1-2003Q1, and so on

3. Moreover, I would need the same two kinds of sets of dynamic forecast series for an ARMA-GARCH model.

I wonder whether there are codes available to derive such multiple dynamic forecast series.

It would be preferable to get the forecast series in the same ‘window’ (group – fortunately, this can be done pretty easily even if the coding would yield 148 separate dynamic forecast series, though) so to be able to copy paste them easily to excel (not to have to the copy paste 148 times…).

Best wishes,

[kennethhuiwc]

Hi all,

I have the same question as ylijohtaja. From what I can find, it seems that the recursive estimates under EViews' stability diagnostics functions are only available for OLS. Would anyone happen to know if there is a way to perform these functions for ARMA without having to write a programme?

Grateful for any help.

Thanks.
Ken