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st: Time Series/ arima postestimation- How to forecast more than one-step-ahead?


From   "Erika Morris" <morrised@umich.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Time Series/ arima postestimation- How to forecast more than one-step-ahead?
Date   Thu, 30 Aug 2007 09:46:45 -0500

Dear Statalist users:

I have time series data and would like to use levels of one variable
(X) to forecast changes in another variable (Y) over multiple periods.
 In other words, I want to estimate something like the following
equation:

Yt+k - Yt = b*Xt + error,

where k>1.

It looks like the "arima" command and "predict" postestimation do
something similar, but based on my reading of the Time Series manual
they only calculate one-step-ahead forecasts. I would like to use the
actual value of Xt to forecast changes in Y over longer periods (k).

I would appreciate any advice you may offer.  Thank you!

Erika (first time poster, frequent reader)
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