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st: time series forecasting using ADL(p,q) and rolling pseudo out-of-sample regression


From   "Adrian Fath" <adriannhfath@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: time series forecasting using ADL(p,q) and rolling pseudo out-of-sample regression
Date   Fri, 20 Aug 2010 22:06:56 +0200

Hello there,

I have a time series (1991/1 until 2010/3) with the two variables Y and
X. 

For now I am not concerned with the leg length, but simply (doubt that
this is so simple?!) want to run an ADL(2,2) model.

In 2004/1 I want to start performing pseudo out-of-sample forecasts with
rolling regressions (length 12 months). As I see it I would need 75
seperate regression. 

I am not so firm in Stata programming, but I would guess that this could
be accomplished using loops?! 

I hope I have made myself clear?! Is there anyone who can help me? Help
is greatly appreciated!!!
 

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