AutoRegressive forecast model
Posted: Mon Aug 17, 2009 12:12 pm
I will start by saying that I have little experience working with EVIEWS and I'm having a lot of problems.
I'm trying to forecast (i.e. generate a concatenated time series of predictions) interest rates and inflation by using an AR model.
I have time series data of interest rates and inflation and have to use them try to model inflation expectations.
One of the things I have to do is construct a few vectors and matrices (that contain some coefficients etc.) and use these in the model.
One of these vectors is a so-called 'summary of the agents' lagged information set', in other words a vector consisting of
lagged (13 lags) interest rates rates (i.e. r(t-1), r(t-2), r(t-3),.....r(t-13)). But since these lagged values are not constants I don't know how to put them in a vector, in a way that will can vary accordingly with the time at which the interest rate has to be forecast.
Can someone please help me,
Thanks
I'm trying to forecast (i.e. generate a concatenated time series of predictions) interest rates and inflation by using an AR model.
I have time series data of interest rates and inflation and have to use them try to model inflation expectations.
One of the things I have to do is construct a few vectors and matrices (that contain some coefficients etc.) and use these in the model.
One of these vectors is a so-called 'summary of the agents' lagged information set', in other words a vector consisting of
lagged (13 lags) interest rates rates (i.e. r(t-1), r(t-2), r(t-3),.....r(t-13)). But since these lagged values are not constants I don't know how to put them in a vector, in a way that will can vary accordingly with the time at which the interest rate has to be forecast.
Can someone please help me,
Thanks