Forecasting with VAR
description
Transcript of Forecasting with VAR
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Forecasting with VAR
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Sample
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VAR Model
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Estimated model: Top
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Estimated model: bottom
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Impulse Response functions
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-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DTCU
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DFFR
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DTCU
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DFFR
Response to Cholesky One S.D. Innovations ± 2 S.E.
Impulse Response graphs
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Impulse response graphs: other choleski
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DTCU
-.1
.0
.1
.2
.3
.4
.5
.6
1 2 3 4 5 6 7 8 9 10
Response of DTCU to DFFR
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DTCU
-.2
.0
.2
.4
.6
1 2 3 4 5 6 7 8 9 10
Response of DFFR to DFFR
Response to Cholesky One S.D. Innovations ± 2 S.E.
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Proc/make model
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Model
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Model: Text
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Assign Statements; then hit solve
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Solve Window
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Workfile Window
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Forecast of dtcu: dtcu_0, 2011.05 -2011.12
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Gen dtcuf=ser01
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-4
-3
-2
-1
0
1
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1970 1975 1980 1985 1990 1995 2000 2005 2010
DTCU DTCUF
dtcu & dtcuf
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Dffr forecast: dffr_0
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Dffr & dffrf
-8
-6
-4
-2
0
2
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1970 1975 1980 1985 1990 1995 2000 2005 2010
DFFR DFFRF
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Recolor
Gen tcuf=tcu, smpl 2011.04 2011.04 Gen tcuf=tcuf(-1) + dtcuf, smpl 2011.05
2011.12 Gen ffrf=ffr, smpl 2011.04 2011.04 Gen ffrf=ffrf(-1) + dffrf, smpl 2011.05
2011.12
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65
70
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80
85
90
1970 1975 1980 1985 1990 1995 2000 2005 2010
TCU TCUF
VAR forecast of Total industry capacity utilization for rest of 2011
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0
4
8
12
16
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1970 1975 1980 1985 1990 1995 2000 2005 2010
FFR FFRF
VAR Forecast of federal funds rate for the rest of 2011
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