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st: RE: Forecast values and get their interval extrapolation forecasts


From   "Demetriou, Eleftherios" <Eleftherios.Demetrio@techhealth.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Forecast values and get their interval extrapolation forecasts
Date   Fri, 14 Aug 2009 09:40:35 -0400

Martin, thanks.

However, I like to compare the results for different models.
I used the regression and the var(vector autoregression). I have in my
mind to use arima too.


My time variable takes values from 1 to 80.
As far as regression, in order to forecast the values I executed the
following commands:

matrix coeff=e(b)

matrix colnames coeff=L.bs L2.bs L3.bs L4.bs L5.bs L6.bs L7.bs L8.bs
L9.bs L10.bs L11.bs L12.bs L13.bs L14.bs L15.bs L16.bs L17.bs L18.bs
L19.bs L20.bs L21.bs L22.bs a asqr fb mr ar my jn jl ag sp ot nv dc L.cs
const

tsset t
tsappend, add(18)
tsset t

predict bs if t<=81
predict cs if t<=81
gen const = 1

matrix score bs=coeff if t>=81, replace

list t y bs if t>=81



I am getting an empty table!
I am not sure with the command "matrix colnames coeff" as far as the
monthly dummy variables and quadratic time trend
Also, with the "predict" command I am not sure if I have to predict the
monthly dummy vars and quadratic time trend since those are given.

Thank you


-----Original Message-----
From: Demetriou, Eleftherios 
Sent: Friday, August 14, 2009 8:11 AM
To: 'statalist@hsphsun2.harvard.edu'
Subject: Forecast values and get their interval extrapolation forecasts

Hi,

I regress y on    L(1/22).y   t   tsquare   feb-dec   x_1
Those are time series in monthly.

I would like to obtain a forecast for future y up to 18 periods ahead
with their interval.

Any help with the commands I should use would be much appreciated.

Thank you



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