reursive VAR
Posted: Fri Aug 19, 2011 1:40 am
hi there,
is there any way to choose a best var-eqn for everytime period by SIC and use it for forecasting purposes?
i realise i CANT set the lag length from 1 to !i and let it choose the best lag, can someone pls share is there any other way to do it using SIC for VAR_eqn?
is there any way to choose a best var-eqn for everytime period by SIC and use it for forecasting purposes?
Code: Select all
series y = z_piet8
series x = m_m3
!sc = 9999999
!maxlags = 3
!bestlag = 1
for !horizon= 95 to 122
smpl 1978q1 1978q1+!horizon
var var{!horizon}
for !i=1 to !maxlags
var{!horizon}.ls 1 !i y x
if var{!horizon}.@sc < !sc then
!bestlag = !i
!sc = var{!horizon}.@sc
endif
next
var{!horizon}.ls 1 !i y x
smpl 1978q1+!horizon+1 1978q1+!horizon+1
var{!horizon}.fcast(s) _f{!horizon}i realise i CANT set the lag length from 1 to !i and let it choose the best lag, can someone pls share is there any other way to do it using SIC for VAR_eqn?