Forecasting with VECM Model
Posted: Sat Feb 20, 2021 11:22 am
Hi, i have two variables - hpi and sp500. My training data set is from 2011m2 to 2019m12. Using a VAR VECM model I am trying to forecast hpi from 2020m1 through 2020m11. I already have the forecasts for sp500 through 2020m11. But I keep getting this error in Eviews (see attached). Please advice.
Also is there a step by step guide or examples on how to use a VECM model to forecast 2-3 years into the future if only one variable's forecasts are available and the other variable (e.g. hpi) only has actuals (history)? Also attaching working file.
Thanks in advance!
Also is there a step by step guide or examples on how to use a VECM model to forecast 2-3 years into the future if only one variable's forecasts are available and the other variable (e.g. hpi) only has actuals (history)? Also attaching working file.
Thanks in advance!