EViews.com

Posted: **Fri Apr 12, 2013 5:07 am**

Hi all,
these days I am working with an ARIMA(12,1,2) model, which I estimated with an implicit dependent variable D(r), so my equation looks like:

equation e1.ls D(R) AR(1) AR(2) AR(3) AR(4) AR(5) AR(7) AR(9) AR(10) AR(12) MA(1) MA(2)

A new feature of eviews 7 seems to be that it's directly possible to forecast the level of the variable r, rather than the differenced variable d(r)...nevertheless I am trying to manually check the static forecasts and I keep coming up with different results from what eviews gives me...does anyone know what Eviews does EXACTLY to forecast the level of r from an equation expressed in differences?

What I do is:

Code: Select all

e1.fit(d) yhats1 
genr rf_indirect_manual=na
smpl @first 2007m8
rf_indirect_manual=r
smpl 2007m8+1 @last
rf_indirect_manual=rf_indirect_manual(-1)+yhats1

How come that my rf_indirect_manual is always different from the eviews forecast rf_1step? this is obtained as:

Code: Select all

e1.fit rf_1step

Posted: **Fri Apr 12, 2013 8:38 am**

Code: Select all


create u 100
series y=nrnd
series x=nrnd

equation eq1.ls d(y) c x

'static

eq1.fit yf_s
eq1.fit(d) dyf_s

smpl 2 @last
series ym_s = y(-1) + dyf_s


'dynamic
smpl @all
eq1.forecast yf_d
eq1.forecast(d) dyf_d

smpl 1 1
series ym_d = y

smpl 2 @last
ym_d = ym_d(-1) + dyf_d

show yf_s ym_s yf_d ym_d

Posted: **Fri Apr 12, 2013 8:43 am**

Thanks for the prompt reply! :)

Anyway, what actually works in this simple specification with an exogenous variable x does not apply (at least for me) when I have a pure arma specification and no exogenous terms....

would you mind writing a similar example with equation eq1.ls d(y) c ar(1) ma(1) instead? that would clarify things a lot....

Posted: **Fri Apr 12, 2013 9:04 am**

Code: Select all


rndseed 1
create u 100
series x=nrnd
series y=nrnd

equation e1.ls d(y) c ar(1) ma(1)

e1.fit yf  
e1.fit(d) dyf

smpl 2 @last
series ym = y(-1) + dyf

show yf ym

Posted: **Fri Apr 12, 2013 9:12 am**

Ok....
But then why this thread:
http://forums.eviews.com/viewtopic.php?f=7&t=465 (in particular the final paragraph)

says something different regarding the forecasts from an arma model?
there it seems that the ma part also has to be taken into account while in your code it doesn't....

Posted: **Fri Apr 12, 2013 9:19 am**

How you forecast an ARMA model is entirely different from how you treat the implicit dependent variable having done an ARMA forecast. You asked about the latter, not the former.

It doesn't matter how you got your forecast of D(Y), once you have it, figuring out Y is easy...

Posted: **Fri Apr 12, 2013 9:21 am**

You are right, it's easy to get all problems mixed up when you work a lot! Thanks...

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