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.
From: gretl-users-bounces(a)lists.wfu.edu [mailto:email@example.com] On
Behalf Of mastro2387(a)tiscali.it
Sent: Wednesday, March 13, 2013 12:22 PM
Subject: [Gretl-users] Converting VAR forecast coefficent
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
I hope to have explained the issue in an understandable
Invita i tuoi amici e Tiscali ti premia! Il consiglio di un amico vale più di uno spot in
TV. Per ogni nuovo abbonato 30 € di premio per te e per lui! Un amico al mese e parli e
navighi sempre gratis: http://freelosophy.tiscali.it/
Gretl-users mailing list