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Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict


From   Richard Herron <richard.c.herron@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict
Date   Sun, 11 Sep 2011 16:47:58 -0400

The final pieces are:

(1) make the series stationary "on the fly" with _S4_ and _D_ so that
I can use _predict_ to get back the original series

(2) use _, y_ so that _predict_ returns the prediction in levels.

Here's the complete solution:

* begin code
webuse friedman2, clear
tsappend, last(2000q4) tsfmt(tq) // add observations
generate l_m1 = log(m1)
arima DS4.l_m1, ar(1) ma(4) noconstant
predict p_l_m1 if tin(1998q4, 2000q4), y dynamic(q(1998q3))
generate p_m1 = exp(p_l_m1)
* end code
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