ECM Forecast
Posted: Thu Nov 18, 2010 1:09 pm
Hi! I apologize for my bad english...
I am trying with eviews 7 and with a ECM method to "forecast" a variable.
Here is the model:
I have no problem to estimate the first and the second regression but what I want to do is to forecast log(y) thanks to these two equations and i have not found the way to do it with eviews. The way I want to forecast is defined in the last equation. Maybe there is an other way to retake the coefficient from the output window (I can't do it manually because I have a lot of this type of ECM regression and a lot of forecat to do). Is there an easy code to take the coefficient and re-integrate them into an equation?
Please note that I do not want to forecast short term and long term relationship
So, I just need to generate a second version of log(y ) for all the values of the serie x thanks to the regressions I have made and the coefficients i have found.
I hope I've been clear, if not just tell me, I'll try to explain better.
Thank you for your help,
Kos
I am trying with eviews 7 and with a ECM method to "forecast" a variable.
Here is the model:
- LT relationship: log(y)=a+b.log(x) +Ut
ST relationship: dlog(y)= c + e.dlog(y-1) + f.(Ût-1) + EPSILONt
putting LTequation into ST equation I find log(y)=c+ (a+b.log(x-1)).(d+1) -d(a+b.log(x-2)) +e.(Ût-1)
Hyp:Ut and Epsilont are noises (I hope there are no mistakes in the last equation)
Code: Select all
equation.ls log(y) c log(x)
genr Ut=resid
equation.ls dlog(y) c dlog(y(-1)) Ut(-1)
Please note that I do not want to forecast short term and long term relationship
So, I just need to generate a second version of log(y ) for all the values of the serie x thanks to the regressions I have made and the coefficients i have found.
I hope I've been clear, if not just tell me, I'll try to explain better.
Thank you for your help,
Kos