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st: One-step and dynamic forecasts


From   Olga Pak <opak@umail.iu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: One-step and dynamic forecasts
Date   Sun, 3 Jul 2011 23:27:29 -0400

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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