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Diagnostics
Posted: Mon Dec 21, 2009 6:49 am
by Pantera
Hi,
Could anyone check out whether there is any bug when plotting N-step Forecast Test (Choose the follow steps: "view - Stability Diagnostic - Recursive Estimation (ols only) - N-Step Forecast Test".)
The plot from this test shows the recursive residuals but NOT the significant probabilities (based on the F-statistic) which should be visible in the lower portion of the diagram.
Regards,
Torbjørn
Re: Diagnostics
Posted: Mon Dec 21, 2009 9:10 am
by EViews Gareth
I cannot replicate this. Could you post the workfile you were using. Also the build date of your copy of EViews (available from Help->About EViews).
Re: Diagnostics
Posted: Mon Dec 21, 2009 9:28 am
by Pantera
Hi,
Please find attached the work file. Estimate AR(1)- model: "averskr c averskr(-1)". Then; "view - stability diasgnostic - recursiveestim. - N-Step Forecast". The recursive plot of the resi shows that 1956 res. crosses the conf.int. and 1968 is closeed to being significant - but there is no significant probabilities in the lower portion of the diagram - which according to the manual should be there.
Regards,
Torbj.
Ps: I'm using EView7 and it is updated 4th of Dec - automatic updating.
Re: Diagnostics
Posted: Mon Dec 21, 2009 10:01 am
by EViews Gareth
The red lines on the graph are simply +- 2*SE, and are not true confidence intervals. In your particular case, none of the probabilities are significant, and thus none are plotted on the graph.
Re: Diagnostics
Posted: Mon Dec 21, 2009 10:07 am
by Pantera
OK - thank a lot for your help Gareth.
Torbj.
Re: Diagnostics
Posted: Mon Dec 21, 2009 10:20 am
by EViews Gareth
I think you can calculate the probabilities with the following program:
Code: Select all
smpl @first+3 @last-1 'set sample to cut off end points to avoid errors
series dof = @trend-1 'rolling degrees of freedom
series robs = @trend+1 'rolling number of observations
series obs = 73 'total number of observations
series ssr = @sumsq(r_res) 'total sum squared residuals
series csq = @cumsum(r_res^2) 'rolling sum of squared residuals
series F = dof*(ssr-csq) / ((obs-robs)*csq) 'create F stat series
series FProb = @fdist(f,1,dof) 'pvalues for f-stat
show FProb
Re: Diagnostics
Posted: Mon Dec 21, 2009 3:29 pm
by Pantera
Thank for your insightful suggestion – I look forward to test the program. Just a short comment: If you look at the N-step Forecast test (after estimating the AR(1)-model, please see the preceding emails) the plot shows a zero at the top of the left hand side y-axis. Why? However, when you calculate the One-step forecast test, EViews generate “nicely” the confidence interval and the plot of the one-step probabilities. Is that the idea also for the N-step Forecast test?
Regards,
Torbj.