EViews.com

Posted: **Wed Oct 19, 2016 1:46 pm**

Hi, I have defined a given State Space Model and I am trying to forecast 1 to 8-period ahead with a fixed rolling window. However, it seems that Eviews can not estimate the SSpace's state in a rolling window. When I run my code, I have the error message:

Invalid or duplicate specification for state dependent variable in equation "@STATE SV1 = SV1(-1) + [VAR = EXP(C(2))]" in "DO_TEST.ML".

.

My code for the 4-period ahead forecast is (Based on Gareth's code at: http://forums.eviews.com/viewtopic.php?t=878):

Code: Select all

'run rolling regression
' set window size
!window = 156 '13 years
' set step size
!step = 1
' get size of workfile
!length = @obsrange
' declare equation for estimation
sspace SSPACE
'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)
'series to store forecast estimates
series fcast
'redundant series for catching start and end points
series ser = 1   
%start = @otod(@ifirst(ser))   
%end = @otod(@ilast(ser))  
'variable keeping track of how many rolls we've done
!j=0
' move sample !step obs at a time
for !i = 1 to !length-!window+1-!step step !step
!j=!j+1     
' set sample for estimation period         
%first = @otod(@dtoo(%start)+!i-1)
%last = @otod(@dtoo(%start)+!i+!window-2)
smpl {%first} {%last}      
' estimate state space
SSPACE.append @signal y = y(-1) + sv1 + [var = exp(c(1))]
SSPACE.append @state sv1 = sv1(-1) + [var = exp(c(2))]
SSPACE.ml
'  1-period-ahead forecast
%1pers = @otod(@dtoo(%start)+!i+!window-1)      'start point
%1pere = @otod(@dtoo(%start)+!i+!window+2)   'end point
if (%end) < (%1pere) then   'check whether the forecast end point is greater than the workfile end point
exitloop
endif
' set smpl for forecasting period
smpl {%1pers} {%1pere}   
' forecast with command forecast
SSPACE.forecast @signal y_forecast     
' set sampl to obtain the 4th period observation
smpl {%1pere} {%1pere}    
' store forecasts
fcast = y_forecast
next

My question: is it possible to forecast the @signal in a rolling window situation and if so, what's wrong with my code? Any idea on how to accomplish the forecast?

Thank you

Posted: **Wed Oct 19, 2016 1:54 pm**

Each time through you're re-appending lines to the state space object, so you'll end up with a huge specification with lots of duplicates.

Posted: **Thu Oct 20, 2016 7:37 am**

Hi,

Thank you for the quick answer.

The problem with the code seems to be in the forecast part. When I run the estimation part only, with a rolling window, it works. However, when I run the forecast part with the maximum likelyhood estimation(SSPACE.ml) and the forecast commande (SSPACE.forecast @signal y_forecast), I have the error message that I have a duplicate specification

Invalid or duplicate specification for state dependent variable in
equation "@STATE SV1 = SV1(-1) + [VAR = EXP(C(2))]" in "DO_
SSPACE.ML".

Do you know how to fix this problem? Is the code I am using appropriate for this kind of forecast model?

Thank you in advance.

Posted: **Thu Oct 20, 2016 7:57 am**

Did you fix the issue I pointed out?

Posted: **Thu Oct 20, 2016 8:48 am**

Hi Gareth,

Yes, I think I just fixed the issue you pointed out. I removed the append lines from the loop. After these modifications, my code looks like (again, this is for a 4-periods ahead forecast):

Code: Select all

'run rolling regression
' set window size
!window = 156 '13 years
' set step size
!step = 1
' get size of workfile
!length = @obsrange
' declare equation for estimation
sspace SSPACE
SSPACE.append @signal y=y(-1)+sv1+[var = exp(c(1))]
SSPACE.append @state sv1=sv1(-1)+[var = exp(c(2))]
'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)
'series to store forecast estimates
series fcast
'redundant series for catching start and end points
series ser = 1   
%start = @otod(@ifirst(ser))   
%end = @otod(@ilast(ser))  
'variable keeping track of how many rolls we've done
!j=0
' move sample !step obs at a time
for !i = 1 to !length-!window+1-!step step !step
!j=!j+1     
' set sample for estimation period         
%first = @otod(@dtoo(%start)+!i-1)
%last = @otod(@dtoo(%start)+!i+!window+2)
smpl {%first} {%last}      
' estimate equation
SSPACE.ml
'  4-period-ahead forecast
%1pers = @otod(@dtoo(%start)+!i+!window-1)      'start point
%1pere = @otod(@dtoo(%start)+!i+!window+2)   'end point
if (%end) < (%1pere) then   'check whether the forecast end point is greater than the workfile end point
exitloop
endif
' set smpl for forecasting period
smpl {%1pers} {%1pere}   
' forecast with command forecast
SSPACE.forecast @signal forecast     
' set sampl to obtain the 4th period observation
smpl {%1pere} {%1pere}    
' store forecasts
fcast = forecast
next

Please, let me know, if you find any mistakes in the code.

Thank you.

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