Re: [Gretl-users] VAR Forecast
Dear Allin,
Thanks for the quick answer! But I have some problems yet. I would
like to include the static forecast inside the sample (what I think is
the Gretl default).
Let me explain better: I would like to make the forecasts for the
1972:1-1991:4 period. For 1972:1-1991:1 I would like to use the static
option (because I have the data), and for 1991:2-1991:4 I would like
to use the dynamic option.
The new script I'm using is that:
<script>
open australia.gdt
"VAR 1" <- var 1 E PAU PUS
dataset addobs 3
fcast 1972:1 1991:1 --static
matrix Static = $fcast
fcast --out-of-sample
matrix Out_of_sample = $fcast
matrix Previsao = Static | Out_of_sample
</script>
How can I make an "automatic forecast (dynamic out of range)" inside a
script file with a more parsimonious code? I'm trying the command
"fcast 1972:2 1991:4", but it doesn't gives me the same values.
Best
Henrique
2010/10/15 Allin Cottrell <cottrell(a)wfu.edu>:
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
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--
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge