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I wanna get estimated x1,y1,z1,x2,y2,z2,...,x10,y10,z10 under different VAR model , instead coefficient of VAR model.

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I plus print under kalman and get VAR Coefficients in every steps.
Instead of calculating estimations by myself, is there exist any way can help me insert the real value into VAR model in every steps and get variables estimated value by coding?
Thanks for your great help.

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If I would like to know estimators in every steps, how should I add in my code?

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Thanks for your great help. While I want to use t information to estimate t+1 only. Is N Obs colum means we use t period VAR model to estimate t+1~t+10 and compare to their real value then get RMS Error? What I want to do is use 1~t period VAR estimate t+1(hat) , 1~t+1(hat) period VAR estimate t+2(h...

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Is it correct to code as following?

Code: Select all

SYSTEM(MODEL=A)
VARIABLES X Y Z
LAGS 1 TO 3
DET Constant
END(SYSTEM)
ESTIMATE(noprint)

theil(setup,model=A,steps=10,to=100)
estimate(noprint,noftests) * 90
do time=1,100
if time==91 ; theil(dump)
theil time
kalman
end
theil(dump)

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Dear all, I want to forecast next 10 period on my VAR model. I have 100 data. First, I want to use the first 90 data to estimate 91, then use the first 90 data and 91 estimator to do the new VAR. Second, use the new VAR model to estimate 92 estimator and repeat estimate the VAR model until I get the...

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another question:
if I would like to set threshold is delayed X.
I should

Code: Select all

set thresh =X{1}

or

Code: Select all

set thresh = X{-1}

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so if I wanna choose lower break by 15%~40% and upper break by 57%~85%,
If there are 100 data available, could I set i=15,40 j=57,85 and n=100 ?
instead of estimating two break separately, I wanna estimate them at the same time and use AIC to determine it.
How should I code it?

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I am appreciate your great help. It's very useful for me.

I have another question:
If I wanna estimate two threshold value for three-regime model, first threshold value get by [-0.3,-0.2],the other by [-0.15,0.05]
How should I code on this example?

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thanks for answer
BTW,the code above

Code: Select all

do i=1,ngrid-19
   do j=i+20,ngrid

I would like to know why set i=1,ngrid-19 and j=i+20,ngrid.
Could you please interpret what they means?

thans for answering

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@gridseries(from=-.30,to=.05,n=80,pts=ngrid) rgrid * compute bestaic=%na do i=1,ngrid-19 do j=i+20,ngrid sweep(group=(thresh<rgrid(i))+(thresh<rgrid(j)),var=homo) # g3year g3month # constant g3year{1 to p} g3month{1 to p} compute thisaic=-2.0*%logl+2.0*%nregsystem if .not.%valid(bestaic).or.thisaic...

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