Forecasting Issue
Posted: Wed Feb 19, 2014 9:42 am
Using EViews 8 -
Despite having a good overall fit and significant coefficients, many of my models have a large gap between the fitted regression line and the actual value for within the last period of actual data for the dependent variable. As shown below.
When I attempt to forecast out-of-sample this creates a substantial "jump-off" between the last actual value and the forecasts based upon the trend-line relationship. This forces me to make adjustments to the forecast value offline. Is there a way to force the forecast to start from the last actual value rather than continuing from the fitted values generated by the regression?
Any ideas would be greatly appreciated.
Despite having a good overall fit and significant coefficients, many of my models have a large gap between the fitted regression line and the actual value for within the last period of actual data for the dependent variable. As shown below.
When I attempt to forecast out-of-sample this creates a substantial "jump-off" between the last actual value and the forecasts based upon the trend-line relationship. This forces me to make adjustments to the forecast value offline. Is there a way to force the forecast to start from the last actual value rather than continuing from the fitted values generated by the regression?
Any ideas would be greatly appreciated.