Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Brian P. Poi" <bpoi@stata.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: forecasting y from a differenced arima model |

Date |
Fri, 07 Oct 2011 15:49:02 -0500 |

Morning Jamba wrote:

I have 2 years of daily time series data.I want a 31 day forecast, so I: .tsappend, add(31)I have observations for my iv1 that extend into this forecast period.My problem, through way of a contrived illustration:After estimating the following two models--.arima depvar , arima (1,0,0).arima depvariv1 , arima (1,0,0)--I can create dynamic forecasts in terms of the original depvar data units usingpredict y,yHowever predict y,y will not predict beyond one day when I have a differencing term:.arima depvar, arima (1,1,0) .arima depvar iv1 , arima (1,1,0)What is the limitation I am encountering? Is there a way to predict the full 31 day period in a differenced ARIMAX model. Don't think this is a methodological issue as it seems that if it is capable of predicting one day out, it should be able to predict 2, 3, or 31 days out as well. Im thinking I am missing some step to transform the stationary/differenced units estimated in the model back into the original units. I thought that predict y,y was supposed to handle this translation.

. webuse air2 . gen lnair = ln(air) . arima lnair, arima(1,1,0) . tsappend, add(10) . predict y1, y dynamic(145) . predict y2, y . tsline lnair y1 y2

Brian P. Poi Senior Economist StataCorp LP * * 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/

**Follow-Ups**:**RE: st: forecasting y from a differenced arima model***From:*Morning Jamba <morningjamba@hotmail.com>

**References**:**st: forecasting y from a differenced arima model***From:*Morning Jamba <morningjamba@hotmail.com>

- Prev by Date:
**Re: st: grouping cases** - Next by Date:
**st: recursive cointegration** - Previous by thread:
**st: forecasting y from a differenced arima model** - Next by thread:
**RE: st: forecasting y from a differenced arima model** - Index(es):