Any help how to Backcast ???

Hi guys,

Does anyone know how to backcast a time-series lets say with an AR(2) model ?? any link or whatever??

Many thanks

[Panty]

Here is a code I use for forecasting..So I am looking for a way to modify this code so I can conduct backcastings..Do you know If I can modify it?? Many thanks.

 row=75;
 data(1:row,1)=USActualGDPPotentialsandOutputGapsS1(1:row,1);

 mdl=arima(3,0,0);

 for ii=0:99;

 RecursiveData=data(1:row,1);
 mdlEstimate = estimate(mdl,RecursiveData,'print',false);
 [Y,YMSE,~] = forecast(mdlEstimate,1,'Y0',RecursiveData);
 forecastY(ii+1,1) = Y;
 data(row+1,1)= Y;
 row=row+1;

 end;

[O.Hubert]

A backcast is essentially a forecast backwards.

In that case, simply flip your data with

flipud

and use your code.