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Re: st: After usingVAR and FCAST COMPUTE I get an error message - Asymptotic Standard Error


From   "David M. Drukker" <ddrukker@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: After usingVAR and FCAST COMPUTE I get an error message - Asymptotic Standard Error
Date   Fri, 14 Aug 2009 16:43:35 -0500 (CDT)

Eleftherios Demetriou <Eleftherios.Demetrio@techhealth.com> asked why

Var y x_1, exog(t tsquare feb-dec) lags(1/13)

fcast compute a, step(18)


produced the messages:

asymptotic standard error not available with exogenous variables
exogenous variables cannot be missing in the forecast period
r(498)

The first message

"asymptotic standard error not available with exogenous variables"

was produced because the formula for the asymptotic standard errors was derived for the case in which there are no exogenous variables in the VAR.
In this case, bootstrapped standard errors are still available.

The second message

"exogenous variables cannot be missing in the forecast period"

is the cause of the error code r(498).  This message occurred because some of
the exogenous variables are missing for part of the forecast horizon.  If
there are no observations on the exogenous variables, it is not possible to
produce a forecast using the specified exogenous variables.

--David
  ddrukker@stata.com

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