1

Forecasting with VAR

2

Sample

3

VAR Model

4

Estimated model: Top

5

Estimated model: bottom

6

Impulse Response functions

7

-.1

.0

.1

.2

.3

.4

.5

.6

1 2 3 4 5 6 7 8 9 10

Response of DTCU to DTCU

-.1

.0

.1

.2

.3

.4

.5

.6

1 2 3 4 5 6 7 8 9 10

Response of DTCU to DFFR

-.2

.0

.2

.4

.6

1 2 3 4 5 6 7 8 9 10

Response of DFFR to DTCU

-.2

.0

.2

.4

.6

1 2 3 4 5 6 7 8 9 10

Response of DFFR to DFFR

Response to Cholesky One S.D. Innovations ± 2 S.E.

Impulse Response graphs

8

Impulse response graphs: other choleski

-.1

.0

.1

.2

.3

.4

.5

.6

1 2 3 4 5 6 7 8 9 10

Response of DTCU to DTCU

-.1

.0

.1

.2

.3

.4

.5

.6

1 2 3 4 5 6 7 8 9 10

Response of DTCU to DFFR

-.2

.0

.2

.4

.6

1 2 3 4 5 6 7 8 9 10

Response of DFFR to DTCU

-.2

.0

.2

.4

.6

1 2 3 4 5 6 7 8 9 10

Response of DFFR to DFFR

Response to Cholesky One S.D. Innovations ± 2 S.E.

9

10

Proc/make model

11

Model

12

Model: Text

13

Assign Statements; then hit solve

14

Solve Window

15

16

Workfile Window

17

18

Forecast of dtcu: dtcu_0, 2011.05 -2011.12

19

20

Gen dtcuf=ser01

21

-4

-3

-2

-1

0

1

2

1970 1975 1980 1985 1990 1995 2000 2005 2010

DTCU DTCUF

dtcu & dtcuf

22

Dffr forecast: dffr_0

23

Dffr & dffrf

-8

-6

-4

-2

0

2

4

1970 1975 1980 1985 1990 1995 2000 2005 2010

DFFR DFFRF

24

Recolor

Gen tcuf=tcu, smpl 2011.04 2011.04 Gen tcuf=tcuf(-1) + dtcuf, smpl 2011.05

2011.12 Gen ffrf=ffr, smpl 2011.04 2011.04 Gen ffrf=ffrf(-1) + dffrf, smpl 2011.05

2011.12

25

26

27

65

70

75

80

85

90

1970 1975 1980 1985 1990 1995 2000 2005 2010

TCU TCUF

VAR forecast of Total industry capacity utilization for rest of 2011

28

0

4

8

12

16

20

1970 1975 1980 1985 1990 1995 2000 2005 2010

FFR FFRF

VAR Forecast of federal funds rate for the rest of 2011

29