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st: Re: fractional integration


From   baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: fractional integration
Date   Fri, 27 Sep 2002 08:52:40 -0400

--On Friday, September 27, 2002 2:33 -0400 David wrote:

This poster's question regarding the Robinson test leads to another.  As
far as I can tell, the various routines for estimating the fractional
root in time series using Stata (there are several - lomodrs, gphudak,
modlpr, roblpr) do not permit one to predict residuals after estimating
the root. It would be useful to be able to do so, so that the residuals
can be modeled. Has anyone written code to permit this?
It is quite true that none of these routines currently support prediction. Perhaps the most sensible thing would be to incorporate predicted values, from which residuals could be generated. I have a RATS routine on SSC that will generate out-of-sample (ex ante) forecasts for a (0,d,0) model that could readily be translated into Stata; but the nature of the fractionally differenced model is such that it is hard to construct in-sample forecasts unless you have a goodly amount of presample data. If you estimate d from a sample of size T, I don't know how to generate T predicted values. If you want to forecast that series for an additional tau observations (and, if they are historical, generate realised forecast errors), no problem. Let me know if this would be useful.

Kit (implicated in all of the aforemeentioned routines)
________________________________________________________________________
Christopher F Baum, Boston College Economics, Chestnut Hill MA 02467 USA
baum@bc.edu http://fmwww.bc.edu/ec-v/baum.fac.html
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