Re: [Gretl-users] VAR problems
Dear Allin,
At first I would like to thank you for your help! But I'm a little
bit confused with this:
Em 30 de julho de 2011 Allin escreveu:
On Fri, 29 Jul 2011, Henrique Andrade wrote:
> I would like to report two "issues" about VAR estimation.
>
> # Part 1: "--out-of-sample" problem
>
> "VAR" <- var 4 lpau lpus le --seasonals --quiet
[...]
> fcast 1990:2 1992:1 --out-of-sample "Does not work"
You're not allowed to specify dates with the --out-of-sample
option; it's a shorthand form that figures the dates for you.
In my humble opinion this is not very intuitive. As we know,
the "--out-of-sample" option gives us static forecasts inside
the sample and dynamic one outside the sample, so, (again)
in my humble opinion sometimes an user will need perform
a forecast like that:
<hansl>
*open* australia.gdt
*smpl* ; 1990:1
"VAR" <- *var* 4 lpau lpus le *--seasonals --quiet*
*dataset* addobs 4
*fcast* 1972:1 1992:1 *--out-of-sample*
</hansl>
What do you think?
Um abraço,
*Henrique C. de Andrade*
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge
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