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From |
"Ronan Gallagher" <rgallagher09@qub.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Defining a value from which to start dynamic prediction |

Date |
Wed, 28 Oct 2009 14:44:41 -0000 |

Hi Statalisters, I am presently writing some code to implement a multivariate garch model and make dynamic out of sample predictions. My variables are as follows: reta = firm a's stock return l.reta = firm a's lagged stock return retb = firm b's stock return In addition I have a time variable called datenum and a binary variable called estimation_window which essentially tells me whether the relevant datenum falls within the window over which I want to fit my garch model. Outside my estimation window I want to make dynamic predictions. My code is as follows: dvech (reta = l.reta retb) if estimation_window==1, arch(1) garch(1) predict outsampred, dynamic(2283) The value 2283 above refers to the maximum value of datenum for which estimation_window==1. Rather than use 2283, i need the dynamic() option to take an argument which for this stock happens to be 2283. Is there anyway I can set dynamic to take an argument defined as max of datenum when estimation_window==1? My goal is then to amend my code to loop over the different stocks I am analysing which is quite straight forward. Any help is greatly appreciated. Kind regards, Ronan * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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