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,