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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: Re: st: Out-of-sample forecasting using OLS regression
Date   Tue, 21 Aug 2012 12:14:18 +0000

<>
On Aug 21, 2012, at 2:33 AM, Edin wrote:

> Basically, it is forecasting using OLS. But using factors estimated by
> principal component, based on large number of series in the literature
> (Stock and Watson, Forni et al) is referred as Dynamic factor model
> forecasting.
> 
> But, it does not really mater how we call it. What I am interested in
> is whether I can perform the forecast for the period for which data is
> not included in the data set, as I have done for ARIMA forecast
> (without factors).
> 
> As my work is based on the data of transition economy, the span and
> the length of available series are very limited. Therefore, I would
> not like to lose any observations.
> 
> I would like to do the forecast based on the model which is estimated
> using the available data. And then, I can compare the ARIMA and the
> DFM forecast with actual values (which are available for the variable
> of interest, while the data on other series used in estimation of
> factors are not available).
> 
> I am really sorry for bothering you, but I do believe that there is a
> way to do the forecast for future period. And that is why I do not
> understand why Stata does not generate predicted values for the future
> period.

Did you run the example I provded in my prior email?!? It does exactly that: produces dynamic forecasts beyond the
end of the estimation sample period. The series cpihat_d beyond 2008q4 does not depend on having any values for
cpi available. 

This variation will demonstrate that. cpi is set to missing beyond the estimation sample, but Stata
can still produce dynamic forecasts through the end of the available data on the RHS variables.

use http://fmwww.bc.edu/cfb/data/usmacro1,clear
arima cpi l.cpi d.oilprice d.wage if tin(, 2008q4)
replace cpi = . if tin(2009q1,)
predict double cpihat_s if tin(2006q1,), y
predict double cpihat_d if tin(2006q1,), dynamic(tq(2008q4)) y
l year qtr cpi* if !mi(cpihat_d)

Kit


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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