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Forecasting

 

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Maximum forecast horizon: Choose the maximum length the forecast sample can take on. If your model has exogenous variables, then you need to make sure that the data for these variables cover the forecast sample. For more information, see the Data Construction File.
Number of observed variables paths per parameter value: The predictive distribution is computed by simulating paths for the observed variables. Similarly, the distribution for the sample moments (mean, standard deviation, autocorrelations) is also computed by simulating data for the selected sample. The value chosen from this control determines how many such paths YADA will compute per parameter value. Integer values from 1 to 1,000,000 are supported.
Adjust prediction paths (sample mean = population mean): When is simulating paths for the predictive distribution for a given parameter value, the population mean (theoretical mean) can differ for a finite number of paths from the sample mean. If you check mark this option, then the paths are adjusted such that the sample mean for each time period T+h is equal to the population mean.

 

Additional Information

A more detailed description about forecasting is found in Section 12 of the YADA Manual.

 

 


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