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Re: st: Out-of-sample forecasting using OLS regression

From   Nick Cox <>
Subject   Re: st: Out-of-sample forecasting using OLS regression
Date   Mon, 20 Aug 2012 18:24:28 +0100

Missing values for predictions imply missing values somewhere in the
predictors. You must fill in them to get predictions.


On Mon, Aug 20, 2012 at 6:09 PM, Edin Zoronjic <> wrote:

> 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.
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