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st: Predict dynamic model


From   "Rio, Martin" <[email protected]>
To   "'[email protected]'" <[email protected]>
Subject   st: Predict dynamic model
Date   Mon, 27 Oct 2003 12:49:50 -0500

I am using reg to estimate a time series regression of the form

	y(t) = a + by(t-1) + cx(t) +dz(t) + u(t),

where y(t-1) was generated by lagging y one time period

I want to be able to predict values of y for the later portion of my sample
and compare these with the actual values. In models with no lagged
independent variables I would use predict. In this model I want to forecast
recursively, using the previous forecast to estimate the next, and not the
predefined y(t-1) variable.  If I use: 

	predict yhat, bx

stata uses the predefined y(t-1) variable rather than recursively estimating
y and feeding it back into the model. What command in stata would do the
recursive trick?

thanks,
Martin

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