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


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Time Series/ arima postestimation- How to forecast morethan one-step-ahead?
Date   Thu, 30 Aug 2007 12:54:21 -0400

Erika,
   Are you doing ex ante or out-of-sample forecasting?
        Robert

Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu
homepage: http://homepages.nyu.edu/~ray1/

----- Original Message -----
From: Erika Morris <morrised@umich.edu>
Date: Thursday, August 30, 2007 10:50 am
Subject: st: Time Series/ arima postestimation- How to forecast more than one-step-ahead?
To: statalist@hsphsun2.harvard.edu


> 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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