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


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Time Series/ arima postestimation- How to forecast more than one-step-ahead?
Date   Thu, 30 Aug 2007 11:23:53 -0400

Erika--
Do you want something like this?

sysuse sp500, clear
sort date
gen t=_n
tsset t
g y=close if t<200
arima d.y vol t
predict yhat, y dyn(199)
line close yhat date

or am I misunderstanding your desideratum?  Probably the time series
book by Bob Yaffee would help, but it's not published yet...

On 8/30/07, Erika Morris <morrised@umich.edu> wrote:
> 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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