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Out-Of-Sample-Forecasting SETAR-model
Posted: Tue Aug 21, 2012 4:28 am
by Potti_X
hi there,
im trying to do some out-of-sample forecasts for my little SETAR-like model.
Code: Select all
series y = (gbpusd)
series growth = dgbp
scalar th = -0.04
series ind = (growth(-1)<th)
equation test.ls y c ind*y(-1) (1-ind)*y(-1)
the in-sample forecasts works perfectly fine, i already expanded the workfile but when i run a dynamic out-of-sample forecasts it only shows the first out of sample observation forecast (e.g. we are in 2012M08 so i forecast to 2013M08, it only shows me the forecast for 2012M09 and thats it). Is there any way to fix this within the Forecast Interface or should i use monte carlo/ bootstrap methods?
thx in advance & best regards
Re: Out-Of-Sample-Forecasting SETAR-model
Posted: Tue Aug 21, 2012 7:41 am
by EViews Gareth
Does ind exist for your forecast period?
Re: Out-Of-Sample-Forecasting SETAR-model
Posted: Tue Aug 21, 2012 8:10 am
by Potti_X
no, thats what i also suspect why its not working....
the problem is that ind depends on y, so i would need the forecasts for y in order to get data for ind...
do u have a small trick or roundabout for this problem? using AR(q) forecasts and use them to calculate ind seems a bit quick & dirty
thx for your help
regards
Re: Out-Of-Sample-Forecasting SETAR-model
Posted: Tue Aug 21, 2012 8:19 am
by EViews Gareth
If IND depends upon Y, you'll need a model object to do the forecast, with an equation for IND.
Re: Out-Of-Sample-Forecasting SETAR-model
Posted: Wed Aug 22, 2012 1:37 am
by Potti_X
thx gareth, works perfectly fine now. is there any possibility to calculate RMSE statistics like in the standard forecast window or do i have to calculate those by hand?
regards
Out-Of-Sample-Forecasting SETAR-model
Posted: Wed Aug 22, 2012 6:37 am
by EViews Gareth
There is an @rmse function for calculating the RMSE between two series.