Dear all,
I have problem of implementing out-of-sample dynamic forecast
recursively in PcGive.
My question is:
Suppose I use the first T observations to estimate VAR model in PcGive,
then do out-of-sample dynamic forecast for horizon H=100 (i.e. forecast
for T+1,T+2,...T+H). Then I add one more observation T+1 and use the
first T+1 observations to reestimate the model, then update
out-of-sample dynamic
forecast for horizon H=99(i.e. forecast for T+2, T+3,...T+100)...Keep
repeating this procedure: reestimate the model sequentially by adding
one more
observation each step, and redo out-of-sample dynamic forecast.
Does anyone have clue how to do it in PcGive?
Your kind reply will be greatly appreciated!
jing chen
FINANCE DEPT
COLUMBIA UNIV
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