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st: Out-of-sample prediction: Time dummy problem
I estimate a model using an in-sample-dataset (e.g. 1989-1999)and the
xtabond2 command with time dummies. Then I want to predict and calculate
residuals using an out-of-sample-dataset (e.g. 2000-2004) for another time
My problem: Using predict and the out-of-sample-dataset, STATA complains,
that some variables are missing in the dataset, since it cannot find the
Question: How can I predict using only the estimates of the main model
variables without the estimates for the time dummies?
My idea was:
Xi: xtabond2 depvar var1 var2 i.year (endogvar, lag(2 .)) ivstyle(var1 var2
i.year) rob twostep
... and then some kind of adjust or xpredict ... But it is not working so
far and I am not sure, if this is the right way.
Has anybody made a similar out-of-sample prediction and can help me out?
Thanks in advance
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