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 abrašo,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge