forecast

forecast — computes a simulation of a stochastic model from a given state

Synopsis

forecast [( OPTION,... )] VARIABLE_NAME [VARIABLE_NAME...] ;

Options

  • periods = INTEGER: number of periods of the forecast (default = 40)

  • conf_sig = DOUBLE: level of significance for confidence interval (default = 0.90)

Description

forecast computes a simulation of a stochastic model from an arbitrary initial point.

When the model also contains deterministic exogenous shocks, the simulation is computed conditionaly to the agents knowing the future values of the deterministic exogenous variables.

forecast must be called after stoch_simul.

forecast plots the trajectory of endogenous variables. When a list of variable names follows the command, only those variables are ploted. A 90% confidence interval is ploted around the mean trajectory. Use option conf_sig to change the level of the confidence interval.

Output variables

The following variables are set in structure oo_:

  • oo_.forecast.Mean.VARIABLE NAME: mean forecast of endogenous variables

  • oo_.forecast.HPDinf.VARIABLE NAME: lower bound of a confidence interval around the forecast

  • oo_.forecast.HPDsup.VARIABLE NAME: upper bound of a confidence interval around the forecast

  • oo_.forecast.Exogenous.VARIABLE NAME: trajectory of the deterministic exogenous variables

Example

varexo_det tau;
varexo e;

...

shocks;
var e; stderr 0.01;
var tau;
periods 1:9;
values -0.15;
end;

stoch_simul(irf=0);

forecast;