forecasting with var
DESCRIPTION
Forecasting with VAR. Sample . VAR Model. Estimated model: Top. Estimated model: bottom. Impulse Response functions. Impulse Response graphs. Impulse response graphs: other choleski. Proc/make model. Model. Model: Text. Assign Statements; then hit solve. Solve Window. Workfile Window. - PowerPoint PPT PresentationTRANSCRIPT
![Page 1: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/1.jpg)
1
Forecasting with VAR
![Page 2: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/2.jpg)
2
Sample
![Page 3: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/3.jpg)
3
VAR Model
![Page 4: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/4.jpg)
4
Estimated model: Top
![Page 5: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/5.jpg)
5
Estimated model: bottom
![Page 6: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/6.jpg)
6
Impulse Response functions
![Page 7: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/7.jpg)
7
-.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
![Page 8: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/8.jpg)
8
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.
![Page 9: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/9.jpg)
9
![Page 10: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/10.jpg)
10
Proc/make model
![Page 11: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/11.jpg)
11
Model
![Page 12: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/12.jpg)
12
Model: Text
![Page 13: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/13.jpg)
13
Assign Statements; then hit solve
![Page 14: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/14.jpg)
14
Solve Window
![Page 15: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/15.jpg)
15
![Page 16: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/16.jpg)
16
Workfile Window
![Page 17: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/17.jpg)
17
![Page 18: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/18.jpg)
18
Forecast of dtcu: dtcu_0, 2011.05 -2011.12
![Page 19: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/19.jpg)
19
![Page 20: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/20.jpg)
20
Gen dtcuf=ser01
![Page 21: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/21.jpg)
21
-4
-3
-2
-1
0
1
2
1970 1975 1980 1985 1990 1995 2000 2005 2010
DTCU DTCUF
dtcu & dtcuf
![Page 22: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/22.jpg)
22
Dffr forecast: dffr_0
![Page 23: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/23.jpg)
23
Dffr & dffrf
-8
-6
-4
-2
0
2
4
1970 1975 1980 1985 1990 1995 2000 2005 2010
DFFR DFFRF
![Page 24: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/24.jpg)
24
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
![Page 25: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/25.jpg)
25
![Page 26: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/26.jpg)
26
![Page 27: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/27.jpg)
27
65
70
75
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
![Page 28: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/28.jpg)
28
0
4
8
12
16
20
1970 1975 1980 1985 1990 1995 2000 2005 2010
FFR FFRF
VAR Forecast of federal funds rate for the rest of 2011
![Page 29: Forecasting with VAR](https://reader035.vdocuments.us/reader035/viewer/2022062501/568167bb550346895ddd0add/html5/thumbnails/29.jpg)
29