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Re: st: RE: How to let Arch give out of sample prediction??


From   "F. Gao" <gaofaye@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: How to let Arch give out of sample prediction??
Date   Sun, 8 May 2005 07:12:48 -0500

Thanks, scott. I tried the command several times later, the error of
not predicting did not happen again. That has me wondering why I see
it in the first place. Now every time I try, the prediction would be
for both in and out of sample. As I could not reproduce the mistake, I
could not figure out what went wrong that time. Next time, I would try
more times before surrending and ask for help!

Thanks, all!

Faye

On 5/5/05, Scott Merryman <smerryman@kc.rr.com> wrote:
> Do you have observations for variable x beyond 1990?  If so then -predict-
> should give you out of sample predictions.  In general, -predict- calculates
> the requested statistic for all possible observations, whether they were
> used in the model or not.
> 
> In the example below, the model is estimated on data up to 1980q1, but the
> predicted values go to 1990q4.
> 
> . use http://www.stata-press.com/data/r9/wpi1.dta, clear
> 
> . arch ln_wpi if tin(,1980q1), arch(1) garch(1) nolog
> BFGS stepping has contracted, resetting BFGS Hessian (0)
> 
> ARCH family regression
> 
> Sample:  1960q1 to 1980q1                   Number of obs      =        81
>                                            Wald chi2(.)       =         .
> Log likelihood =  85.18144                  Prob > chi2        =         .
> 
> ----------------------------------------------------------------------------
>             |                 OPG
>      ln_wpi |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+--------------------------------------------------------------
> ln_wpi       |
>       _cons |   3.423398   .0011066  3093.53   0.000     3.421229
> 3.425567
> -------------+--------------------------------------------------------------
> ARCH         |
>        arch |
>         L1. |   1.137414    .630359     1.80   0.071    -.0980673
> 2.372895
>       garch |
>         L1. |   .0000419   .1747459     0.00   1.000    -.3424538
> .3425376
>       _cons |   7.66e-06   3.41e-06     2.25   0.025     9.76e-07
> .0000144
> ----------------------------------------------------------------------------
> 
> . predict y, y
> 
> . l in -5/l
> 
>     +--------------------------------------+
>     |   wpi        t     ln_wpi          y |
>     |--------------------------------------|
> 120. | 109.4   1989q4   4.695011   3.423398 |
> 121. |   111   1990q1    4.70953   3.423398 |
> 122. | 110.8   1990q2   4.707727   3.423398 |
> 123. | 112.8   1990q3   4.725616   3.423398 |
> 124. | 116.2   1990q4   4.755313   3.423398 |
>     +--------------------------------------+
> 
> Scott
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of F. Gao
> > Sent: Wednesday, May 04, 2005 10:20 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: How to let Arch give out of sample prediction??
> >
> > Dear all,
> >
> > I am using arch command to estimate a time series for a subset of
> > years, and hoping to get predicted values for fitted values as well as
> > the conditional variance out of sample (after 1990). I only get the
> > in-sample predictions somehow. Here is what I did
> >
> > arch y x if year<1990, archm arch(1) garch(1)
> >
> > predict yhat
> >
> > predict cond_var, variance
> >
> > Can anyone tell me why the last two commands would not give out of
> > sample predicitons? Thanks!
> >
> > Faye Gao
> >
> 
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