Problems with forecasting from VAR-Models
Posted: Fri Nov 11, 2022 5:06 am
Hello, I am using EViews 12, the latest version. There are problems with the prediction of VAR models. When I estimate the same model several times, I get different results: When saving the estimation results in an Excel spreadsheet or internally in a matrix, different columns give different results. There are always two different results that are split between the columns. One variant is (with e.g. 9 identical estimates) always in the columns 1,3,7,8. The other variant is in the columns 2,4,5,6,9. This is very strange and I cannot use these calculations (and selection calculations with the RMSE). Do you have any idea what could be the reason for this? I would be very grateful for any help! Many greetings, Michael
The estimates look like:
smpl 1995:1 2022:3
var var1.var 1 5 y x
var var2.var 1 5 y x
smpl 2022:4 2023:4
var1.makemodel(mod1)
solve mod1
series y1 = y_0
var2.makemodel(mod2)
solve mod2
series y2 = y_0
write M:\test.xls y1 y2
The ouput look like in the attachment.
The estimates look like:
smpl 1995:1 2022:3
var var1.var 1 5 y x
var var2.var 1 5 y x
smpl 2022:4 2023:4
var1.makemodel(mod1)
solve mod1
series y1 = y_0
var2.makemodel(mod2)
solve mod2
series y2 = y_0
write M:\test.xls y1 y2
The ouput look like in the attachment.