Re: [Gretl-users] VAR Forecast
On Fri, 15 Oct 2010, Henrique Andrade wrote:
I'm trying to perform forecasts using a VAR model. Please take a
look
at the following script:
<script>
open australia.gdt
"VAR 1" <- var 1 E PAU PUS
fcast 1991:2 1991:4 --out-of-sample
The data end in 1991:1. You'll have to use
dataset addobs 3
to add an extra three observations.
In addition, the option --out-of-sample is an alternative to
specifying starting and ending dates. So after adding 3
observations you can do EITHER
fcast 1991:2 1991:4
OR
fcast --out-of-sample
but you can't combine the two.
Allin Cottrell