EViews.com

Hello colleagues,

i want to forecast a sample not by iteration, but direct. This means for example, that my AR model looks like this: y(5) c y(-1) y(-2), if the forecast horizon is 5. Because Eviews is not able to forecast it by the commands "fit" or "forecast", I have to program it. Has anybody an idea, how it could look like?

Thanks and greetings

I don't follow what you mean by this.

You want to estimate Y(5) without estimating Y(4), Y(3), Y(2), Y(1)? If so, then what value do you wish to use for Y(-1) Y(-2)? If you want to use the true values, then a "fit" will do it.

Hello colleagues,

i want to forecast a sample not by iteration, but direct. This means for example, that my AR model looks like this: y(5) c y(-1) y(-2), if the forecast horizon is 5. Because Eviews is not able to forecast it by the commands "fit" or "forecast", I have to program it. Has anybody an idea, how it could look like?

Thanks and greetings

Forecast doesn't work with leads and lags. But you could do

Hello,

the idea "series x=y(5), ls x c x(-6) x(-7)" sounds great. I will try it and post if it works.

Thanks very much

Dear colleagues,

it works.

Thanks again for the great idea.
Greetings from Germany