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Forecasting with VECM and Random walk
Posted: Sun Jul 26, 2009 6:14 pm
by ali
I have to compare out-of-sample forecasts of VECM and random walk models. How can estimate random walk model in Eviews? I need simple driftless random walk.
And second, how to implement out-of-sample forecasts using VECM? I tryed to do the model in Procs menu and then solve it, but it makes just 1 step of the forecasts...
Also, I need to estimare root mean square error from these forecasts...
Can you help plz?
Re: Forecasting with VECM and Random walk
Posted: Sun Jul 26, 2009 11:07 pm
by trubador
How can estimate random walk model in Eviews?
Search the forum please.
how to implement out-of-sample forecasts using VECM?
Try "Dynamic Solution".
I need to estimare root mean square error from these forecasts
This code might be helpful.
Re: Forecasting with VECM and Random walk
Posted: Mon Jul 27, 2009 5:17 pm
by ali
Still do not understand.
If I need to implement 4, 10, 16, 20 step ahead forecasts, how can I specify it in the solve menu?
Re: Forecasting with VECM and Random walk
Posted: Mon Jul 27, 2009 10:47 pm
by trubador
You need to adjust the sample size accordingly. Please read the help files and/or search the forum for detailed explanations and examples.
Re: Forecasting with VECM and Random walk
Posted: Tue Jul 28, 2009 3:15 am
by ali
Does it mean, if, for example I need to implement 4 step aheap forecasts for weekly observations with the in-sample series ending 31.12.2006, I must define forecast sample as 7.1.2005 to 28.1.2005?