[Scilab-users] Using GROCER ms_var parameters for forecasting

[Brian Bouterse]

I use GROCER's ms_var function to estimate a single variable VAR model, and
it estimates parameters as expected and described by the manual. I want to
train and evaluate my model on different data sets to avoid bias from
training and benchmarking on the same data set. How can this be done?

For example consider data set A (month 1) and data set B (month 2) from a 2
month sample. I would like to train on month 1 and then benchmark on month
2.

I use ms_var to train on data set A. It gives me estimated parameters and
filtered regime probabilities. That works well. How can I use the trained
parameters to then estimate on month 2 data?

I'm aware of the ms_forecast function, but it seems to only forecast using
the results from an estimator like ms_var(). The forecasting will then only
be done on the same data as was used for estimating. I want to use the
trained parameters to product estimates for a different data set.

Thanks in advance. I really appreciate being able to use this software.

-Brian

-- 
Brian Bouterse
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