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ARIMA Forecasting
Posted: Fri Nov 01, 2013 11:09 pm
by mtaimoor23
Hello Everyone,I have a question which may be very simple .For Example I have estimated ARIMA(1,1,4) from a data having sample 1961-1999.To produce forecast I re-estimate sample from 1961-1995 and then its easy to produce forecast on eviews.I want to confirm forecast produced by EViews manually but I am not able to do so.Anyone can guide me.
Re: ARIMA Forecasting
Posted: Sat Nov 02, 2013 4:28 am
by EViews Gareth
Re: ARIMA Forecasting
Posted: Mon Nov 04, 2013 12:15 am
by mtaimoor23
Thanks for guidance but it does not solve my problem.Actually I do not have x variable in my equation of arima (1,1,4)
Re: ARIMA Forecasting
Posted: Mon Nov 04, 2013 6:16 am
by EViews Gareth
Then the Excel file examples in that post should be just what you need.
Re: ARIMA Forecasting
Posted: Mon Nov 04, 2013 9:57 pm
by mtaimoor23
dear as I said before my data don not contains any x variable but the excel contains.Will you please explain the process without x variable.
Re: ARIMA Forecasting
Posted: Tue Nov 05, 2013 6:17 am
by EViews Gareth
Just take out the X variables from the example.
Re: ARIMA Forecasting
Posted: Tue Nov 05, 2013 9:51 pm
by mtaimoor23
@EViews Gareth I apologize to say that still i could not get correct manual forecasts with out x variable,Kindly post the solution on any dummy data which reconcile both EVIEWS and Excel results.
Re: ARIMA Forecasting
Posted: Tue Nov 05, 2013 10:03 pm
by EViews Gareth
Code: Select all
rndseed 1
create u 100
series x=nrnd
series y=nrnd
equation e1.ls(z) y c ar(1) ma(1)
'Static Forecast
series e=0
smpl 2 100
e = y-c(1)-c(2)*(y(-1)-c(1)) - c(3)*e(-1)
series yhats2=c(1) + c(2)*(y(-1)-c(1))+ c(3)*e(-1) 'completely manual calculation
e1.fit yhats1 'EViews fitted values (static)
show yhats1 yhats2