Mirko,
The answer depends on what transformations you're using (if any) in your model. If X
is in millions, then for example if X_t+1 = a + b*X_t, then a, b and c have the usual
(regression) interpretation as marginal effects. A $1million increase in X today would
raise your forecast for next period by $b million. If your model is in logs or growth
rates, then you'd have to apply the inverse transformation to get back to $.
Note that things can get tricky if your transformation is nonlinear though. For example,
if your model is x_t+1 = log(X) = a +b*x_t, then your forecast of X_t+1 is exp(a+b*x_t +
0.5s^2) where s is the sample standard deviation.
HTH,
PS
-----Original Message-----
From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On
Behalf Of mastro2387(a)tiscali.it
Sent: Wednesday, March 13, 2013 12:22 PM
To: gretl-users(a)lists.wfu.edu
Subject: [Gretl-users] Converting VAR forecast coefficent
Dear all,
I have a question.
Let us suppose I do a VAR to forecast
some values of my variable X that is measured in Millions of Dollars.
After having done all the process, how can I 'translate' the
coefficients of the forecast so as to have the right value in Millions
of Dollars?
I hope to have explained the issue in an understandable
way.
Kind Regards,
Mirko Mastrolia
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