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Both dynamic and static forecast?
Posted: Thu Sep 23, 2010 12:50 pm
by luching
In a VAR system, is there any inbuilt command or a quick way to do a dynamic forecast for some equations and static forecast for the rest of the equations?
Re: Both dynamic and static forecast?
Posted: Thu Sep 23, 2010 2:11 pm
by TomDoan
If you want to do a dynamic forecast for some variables, while using the actual values for the others, you just need to define a model which includes only the equations (from the VAR) defining the variables that you want to treat dynamically. In other words, you "exogenize" some subset of the variables.
Re: Both dynamic and static forecast?
Posted: Fri Sep 24, 2010 9:29 am
by luching
Here's what I have done:
group smodel %modeleqn(varmodel,1) %modeleqn(varmodel,2)
forecast(model=smodel)
I think the issue is that when I try to forecast the smaller model, it cannot read the 3rd variable which is the one I want to use as actuals.
It's something else. It can't even run this:
group smodel %modeleqn(varmodel,1) %modeleqn(varmodel,2) %modeleqn(varmodel,3)
forecast(model=smodel)
Re: Both dynamic and static forecast?
Posted: Mon Sep 27, 2010 3:45 pm
by TomDoan
luching wrote:Here's what I have done:
group smodel %modeleqn(varmodel,1) %modeleqn(varmodel,2)
forecast(model=smodel)
I think the issue is that when I try to forecast the smaller model, it cannot read the 3rd variable which is the one I want to use as actuals.
It's something else. It can't even run this:
group smodel %modeleqn(varmodel,1) %modeleqn(varmodel,2) %modeleqn(varmodel,3)
forecast(model=smodel)
Use the following as a workaround:
Code: Select all
modify %modeleqn(varmodel,1) eqn1
modify %modeleqn(varmodel,2) eqn2
group smodel eqn1 eqn2
forecast(model=smodel)
Re: Both dynamic and static forecast?
Posted: Tue Sep 28, 2010 10:28 am
by luching
Thanks. This is a lot more elegant than the one I wrote using matrices.