New subject: VAR Forecast

Friday, 15 October 2010

On Fri, 15 Oct 2010, Henrique Andrade wrote:

...
 I'm trying to perform forecasts using a VAR model. Please take a
look
 at the following script:

 <script>
 open australia.gdt

 "VAR 1" <- var 1 E PAU PUS
 fcast 1991:2 1991:4 --out-of-sample 
The data end in 1991:1. You'll have to use

 dataset addobs 3

to add an extra three observations.

In addition, the option --out-of-sample is an alternative to
specifying starting and ending dates. So after adding 3
observations you can do EITHER

 fcast 1991:2 1991:4

OR

 fcast --out-of-sample

but you can't combine the two.

Allin Cottrell