The RATS Software Forum

Hi,

I am trying to perform a historical decomposition. The VAR estimate is perfectly fine, but
for some reason the output of the history command shows no forecast or
decomposition.

What I am doing is:

SYSTEM(MODEL=CHILE)
VARIABLES RFF DY_IBC DP R DEL
LAGS 1 TO NLAGS
DET CONSTANT
END(SYSTEM)
ESTIMATE(noprint,residuals=resvar,cvout=XX) CH_START END
HISTORY(model=CHILE,cv=XX,WIN='Hist')


Historical Decomposition for Series RFF
Entry Actual Forecast RFF DY_IBC DP R DEL
2003:01 0.0124 NA NA NA NA NA NA
2003:02 0.0126 NA NA NA NA NA NA

Any idea of why I am not getting the forecast&decomposition?

Many thanks,
Miguel

miguel wrote:Hi,

I am trying to perform a historical decomposition. The VAR estimate is perfectly fine, but
for some reason the output of the history command shows no forecast or
decomposition.

What I am doing is:

SYSTEM(MODEL=CHILE)
VARIABLES RFF DY_IBC DP R DEL
LAGS 1 TO NLAGS
DET CONSTANT
END(SYSTEM)
ESTIMATE(noprint,residuals=resvar,cvout=XX) CH_START END
HISTORY(model=CHILE,cv=XX,WIN='Hist')


Historical Decomposition for Series RFF
Entry Actual Forecast RFF DY_IBC DP R DEL
2003:01 0.0124 NA NA NA NA NA NA
2003:02 0.0126 NA NA NA NA NA NA

Any idea of why I am not getting the forecast&decomposition?

Many thanks,
Miguel

Offhand, I'm thinking that the CH_START to END range on the ESTIMATE includes some missing values (probably at the front end). HISTORY defaults to the estimation range, which would include the missing values, but HISTORY isn't designed to deal with them. Try replace CH_START with * on ESTIMATE and see what happens.