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st: Out-of-sample forecasting using OLS regression


From   Edin Zoronjic <edinvz@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Out-of-sample forecasting using OLS regression
Date   Mon, 20 Aug 2012 18:09:10 +0100

Dear Stata users,

I am currently working on my master thesis which is focused on the Dynamic
factor model forecasting.
Unfortunately, I got stuck at the out-of-sample forecasting. After running
OLS regression when I try to do out-of-sample forecast, Stata generates the
missing values for all the observations.


2011m12 is the last observation in my sample, afterward data set was
expanded.  I am using following command after running regression:

predict pcpi if t>tm(2011m12)

I would really appreciate if somebody could tell me what the potential
source of this problem is and how I could solve it.

Thank you in advance.


Best regards,

Edin Zoronjic
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