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Re: st: RE: Out of Sample forecasting


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Out of Sample forecasting
Date   Mon, 25 Feb 2008 08:40:41 -0500

Sourav,
      You can restrict the estimation of the arima model to the historical
or estimation sample  and a forecast over the out-of-sample validation
segment with commands similar to

       . arima consump m2 if tin(, 1981q4), ar(1) ma(1)
       . arima consump m3 if time < 76, ar(1) ma(1)
       . predict forecast if time != e(sample)
              or
       . predict forecast if time > 74

Regards,
       Bob Yaffee

Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University


----- Original Message -----
From: Nick Cox <n.j.cox@durham.ac.uk>
Date: Monday, February 25, 2008 6:56 am
Subject: st: RE: Out of Sample forecasting
To: statalist@hsphsun2.harvard.edu


> The -help- for -arima postestimation- says this under -predict-: 
> 
> "These statistics are available both in and out of sample...."
> 
> That's true more generally. 
> 
> Nick
> n.j.cox@durham.ac.uk 
>     
> Sourav Batabyal
> 
> Is there any command to do out of sample forecasting in STATA? Suppose 
> I
> run
> ARIMA till Feb 2008 and want to forecast from March 2008 till December
> 2008!
> 
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