Home Forums Macro Forecasting How to use the forecasting simulator?

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  • #889
    Blade Plissken

    1) I would start running the ex-post model first. This means T(0) or (T-1), T(T-k).. You are running during a period you have actual data.

    Run the default model, select ex-post and then press create forecast.

    A HTML file will return, a self documenting report written in the reproducible style (“literate programming”). Review the report, it provides VAR model results and many of the tools a seasoned econometrician would require to evaluate goodness of fit.

    Whats key is the use of a true forward walk forecast, or dynamic forecast is used during the test period. The mimics a real scenario when used in production.

    Review the report, its written in a data science notebook style, with an emphasis on econometrics rigour.

    2) Then run the ex-ante (in to the future, T+1,T+k), a forward 12 months prediction is the default setting for “forecast horizon”.

    This selection produces a HTML report, again with the reproducible data science style. Provides plots and tables of the forecast values. Enjoy…


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