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hi,

I want to create a pseudo out of sample forecast with a VEC model. But I don't know, how I can save the forecasted values...
Here is a try:

'set sample to modified range
smpl 1994Q3 2010Q1

'define range of pseudo-out-of-sample forecasts (number of periods)
for !horizon=1 to 20

'define sample for initial estimation (automatic update)
smpl 1994Q3 2004Q4+!horizon-1
'define regression
var macro1.ec 1 1 ln_bra_bip ln_oilprice
'define first period for poos forecast (automatic update)
smpl 2005Q1+!horizon-1 2005Q1+!horizon-1

How can I create the forecast and save the estimated values in a vector?

next

To forecast from a VAR you'll have to make it into a model, then solve the model over the period you wish to forecast.