使用EViews求解典型季度预测模型

Solving the Canonical Quarterly ProjectionModel using EViews Sam Ouliaris and Celine Rochon Solving the Canonical Quarterly ProjectionModel using EViews® Sam Ouliaris and Celine Rochon Authorized for distribution by Natan Epstein © 2025 International Monetary FundInstitute for Capacity DevelopmentCataloging-in Publication DataIMF LibrarySolving the Canonical Quarterly Projection Modelusing EViews® Names: Ouliaris, Sam, author. | Rochon, Celine, author.Title: Solving the Canonical Quarterly Projection Model using EViews® / Sam Ouliaris and Celine RochonDescription: Washington, D.C.: International Monetary Fund, 2025 | October 2025. | TNM/2025/?? Includes bibliographical references.Identifiers: ISBN:############ (paper)############ (ePub)############ (web PDF)############ (English Paper)Subjects: LCSH: Macroeconomics-Econometric Models. | Macroeconomics-Decision making. | Solving rational expectations models.Classification: DISCLAIMER: This Technical Guidance Note should not be reported as representing the views of the IMF. The viewsexpressed in this paper are those of the authors and do not necessarily represent the views of theIMF, its Executive Board, or IMF management. Recommended citation:Ouliaris, Sam and Celine Rochon. 2025. “Solving the Canonical Quarterly Projection Model using EViews®”,IMF Technical Notes and Manuals, 2025/11. International Monetary Fund, Washington, DC. Table of Contents Introduction.................................................................................................................................................... 7A Brief Review of the QPM ........................................................................................................................... 7Calibrating the QPM.................................................................................................................................... 10Solving the QPM using EVIEWS ................................................................................................................ 14Figure 1: Contents of the QPM Package for EViews ........................................................................... 14Step 1: Data Collection: Prepare DATA.CSV ............................................................................................. 15Step 2: Import DATA.CSV into an EViews work file. .................................................................................. 16Step 3: Edit the program file 0_qpm.prg ..................................................................................................... 21Step 4: Generate the Data for Solving the QPM......................................................................................... 24Step 5: Create an EViews Model Object of the QPM ................................................................................. 27Step 6: Solve for the Baseline Solution....................................................................................................... 33Step 7: Create and Solve Alternative Scenarios......................................................................................... 38Useful Programs in the EViews QPM Package .......................................................................................... 44Utility Program #1: 4_stylized_facts.prg...................................................................................................... 44Utility Program #2: 5_produce_forecast_graphs.prg .................................................................................. 49Utility Program #3: 6_generate_data_for_forecast_tables.prg ................................................................... 50Utility Program #4: 8_model_properties.prg ............................................................................................... 52Constructing Complex QPM Baselines using EViews ................................................................................ 55Example #1: 7_policy_shock_baseline.prg................................................................................................. 55Example #2: 7_policy_shock_baseline_con.prg ......................................................................................... 60Example #3: 7_policy_shock_baseline_oil.prg ........................................................................................... 62Concluding Remarks................................................................................................................................... 64Appendix: Solving the QPM Using EViews 13............................................................................................ 65References .................................................................................................................................................. 66 Tables Table 1: Calibration of the Canonical QPM: Country Z............................................................................... 11Table 2: Variables in the DATA.CSV file