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Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 9:05 am
by CharlieEVIEWS
When using the .forc command for bayesian vars, the forecasts are generated, but then the equation appears to 'reset' (?) itself with 0.0000 for all coefficients and standard errors in the VAR object. I've tried this with a couple of different datasets, so it isn't a function of that (for whatever reason). When you re-estimate the BVAR, all coefficients and standard errors 're-appear'....
Is this related in some way to the .bvar(prior=NW) crash bug from earlier this week and it will therefore be fixed upcoming patch?
Best wishes
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 9:37 am
by EViews Gareth
The .forc command?
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 9:47 am
by CharlieEVIEWS
Apologies! I meant .fcast from the VAR forecast add-in!
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 9:50 am
by EViews Gareth
Could you provide an example workfile, I cannot replicate this.
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 10:00 am
by CharlieEVIEWS
Certainly! I didnt bother in the first instance as it didnt appear to be data dependant.
I have also realised that as a consequence of this, forecasts for all variables after the first variable are also subsequently 0, for the entire forecast sample (so the 'resetting' appears to occur after the forecast for the first endogenous variable is created)
I will however be the first to admit that my knowledge of bvar theory is fairly flimsy!
Best wishes, and thanks for your time
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 10:28 am
by EViews Gareth
How do you replicate the bug?
If I open up the workfile, I can see that the VAR test is a little screwed up, but how did it get to that state? If I re-estimate it, it looks fine. If I then run the VAR forecast add-in on it, it appears to work fine.
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 10:47 am
by CharlieEVIEWS
I believe this code will show the bug (for my build? at least):
Code: Select all
wfcreate q 1990 2010
series y = nrnd
series x = nrnd
series z = nrnd
var bvartest
smpl 1990q1 2004q4
bvartest.bvar(prior=sznw) 1 2 x y z
smpl 2005q1 2008q4
bvartest.fcast _f
smpl @all
The problem (if indeed it is one) is that y_f (and z_f) has zeros for the forecast sample, and that the object bvartest is 'a little screwed up' as you said before. The forecasts for x_f have appeared to generate correctly however, and we can recover the coefficient estimates through simply estimating the equation again.
Apologies if I am being extremely dense somewhere!
Re: Another (?) BVAR .forc bug
Posted: Wed Jul 31, 2013 10:54 am
by EViews Gareth
Thanks. That looks like a bug.