Out Of Sample Forecast Error Stata
Contents |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index] st: Forecasting out of sample values for an autoregressive function.... From John Ayers
Forecast Stata
out of sample values for an autoregressive function.... Date Mon, 27 Jun 2011 stata out of sample prediction example 14:24:38 -0400 Kit Baum replied to an earlier post where an autoregressive model was used to forecast out of sample...i.e. I stata forecast arima want to predict an outcomes were an autoregressive function will likely produce the best forecasts but need to use the predicted values to produce latter predicted values (for 52 weeks). I ran the following, but
Stata Fcast
this only gives me the prediction for one more week and not all 52 weeks. What am I doing wrong? Thanks very much inadvance for any suggestions. (usually when I get to the predict command, I get an error but rerun it and then get the results). tsappend,add(52) local switch = r(tmax) arima US L(1/4).US predict double UShat4 if tin(`switch',), dynamic(`switch') list date US UShat4 <> On May 5, 2011,
Stata Forecast Confidence Interval
at 2:33 AM, Mike wrote: > I cannot get out-of-sample forecasting after a regression with lags: > > use http://fmwww.bc.edu/ec-p/data/wooldridge/PHILLIPS > tsset year, yearly > regress unem l(1/6). unem > tsappend, add(5) > predict unem_hat > > This gives: > "(option xb assumed; fitted values) > (9 missing values generated)" > > According to the manual, "-predict- can be used to make in-sample or > out-of-sample predictions: > 6. predict calculates the requested statistic for all possible > observations, whether they were used in fitting the model or not." > > However from the example above only one out of sample data is predicted. > > Out-of-sample prediction does work when lags are not included: > > use http://fmwww.bc.edu/ec-p/data/wooldridge/PHILLIPS > tsset year, yearly > regress unem > tsappend, add(4) > predict unem_hat > (option xb assumed; fitted values) > > > Could anybody explain why this is? In the latter 'regression' you are predicting a constant, and you can do that for as many future periods as you want. If the equation is an autoregression, and you want true ex ante predictions (that is, you do not know what the depvar is during those periods), you must use a dynamic forecast: clear all use http://fmwww.bc.edu/ec-p/data/wooldridge/PHILLIPS tsset year,yearly loc sw
material JEL Classification NEP reports Subscribe to new research Search Pub compilations Reading lists MyIDEAS More options are now at bottom of page IDEAS is a service stata forecast solve hosted by the Research Division of the Federal Reserve Bank of
Pseudo Out Of Sample Forecast Stata
St. Louis About 1800 institutions contribute their bibliographic data directly to this service. Printed from https://ideas.repec.org/ Share: stata predict dynamic MyIDEAS: Log in (now much improved!) to save this paper Forecasting tools in Stata Contents:Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections http://www.stata.com/statalist/archive/2011-06/msg01196.html Author Info Gustavo A. Sánchez (StataCorp) Registered author(s): AbstractAfter one fits regression models, it is quite common to produce out-of-sample forecasts to evaluate the predictive accuracy of the model or simply to estimate the expected behavior of one or more dependent variables (assuming that the model is valid be yond the estimation sample). I selected a few https://ideas.repec.org/p/boc/msug13/06.html examples to illustrate some of the tools available in Stata to produce single or joint forecasts based on parameter estimates from a set of regression models. Download Info If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large. File URL: http://fmwww.bc.edu/repec/msug2013/mex13_sanchez_forecast.pdfDownload Restriction: no File URL: http://fmwww.bc.edu/repec/msug2013/mex13_sanchez_vec.pdfDownload Restriction: no Bibliographic Info Paper provided by Stata Users Group in its series Mexican Stata Users' Group Meetings 2013 with number 06. as HTML HTML with abstract plain text plain text with abstract BibTeX RIS (EndNote, RefMan, ProCite) ReDIF JSON in new window Length: Date of creation: 13 May 2013 Date of revision: Handle: RePEc:boc:msug13:06 Contact details of provider: Web page: http://www.stata.com/meeting/mexico13More information through EDIRC Related research Keywords: This paper has been announced in the following NEP Reports:NEP-ALL-2013-07-15 (All new papers) NEP-FOR-2013-07-15 (Forecasting) References Reference
be down. Please try the request again. Your cache administrator is webmaster. Generated Sun, 23 Oct 2016 18:48:23 GMT by s_wx1085 (squid/3.5.20)