BVAR forecasts

[donihue]

Hello Esther,

Before amateurishly trying to do it myself, I was wondering if you had already thought of extending the BVAR "model" option to allow it to use the "VAR Forecast" add-in? That would make a very useful "suite" out of this excellent add-in.

Another useful addition (sorry!) would be to apply something like the automatic "Arimasel" procedure to a set of the hyperparameters (eg, lambdas 0, 1, 4 and 5). It's astonishing how different the models are with seemingly slight variations in these parameters, so a criterion-based decision would make one feel much more comfortable...

Thanks again for all your work on this add-in.

Regards
Donihue

[EViews Gareth]

I'll let Esther reply fully, but I will point out that the current version of the Add-in already has the option to make a model object from the VAR. It is pretty straight forward to use that for forecasting - just solve the model over the period you want to forecast.

[donihue]

That is what I have been doing, but I just thought that as there is already the VAR Forecast add-in, the two might be put together ...

Regards
Donihue