Hello everyone,
I encounter a problem when trying to forecast Real GDP by using
one-step ahead and dynamic forecasting in ARIMA. My results are
identical to each other and they mimics the actual Real GDP in the
forecasted period. I know that at least one of them should be, on
contrary, quite off the actual data. Maybe, there is a problem in my
commands? Any suggestion is very much appreciated. Olga Pak
(flrgdp - first differenced real GDP)
arima flrgdp flrfdgi flrsop fffr flrgpdi if tin(,2005q4)
***Static (one-step-ahead) 20-quarter forecast
predict flrgdp_st if tin(2006q1,2010q4)
***Dynamic (recursive) 20-quarter forecast
predict flrgdp_dyn if tin(2006q1,2010q4), dynamic(tq(2006q1))
label var flrgdp "Actual"
label var flrgdp_st "one-step forecast"
label var flrgdp_dyn "dynamic forecast"
tsline flrgdp flrgdp_st flrgdp_dyn if tin(2006q1,2010q4), ///
ti("Actual and Predicted RGDP")
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