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Re: 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: Re: st: Out-of-sample forecasting using OLS regression
Date   Wed, 22 Aug 2012 10:58:22 +0000

<>
On Aug 22, 2012, at 2:33 AM,Edin wrote:

> I did run example which you have provided me with and everything
> worked well. But when I have tried with my own data it didn't work
> (because for the out-of-sample period instead of data all the
> observations were filled with dots), then I've decided to input random
> data for periods of forecast and repeated the procedure which you have
> suggested and Stata generated predicted values for out-of-sample
> observations.

In a dynamic forecast, you must have values for the exogenous predictors. The endogenous variables are filled in from the model's prior
predictions, but before forecasting you must define the other variables' values (even if they are themselves forecasts from some other
method, e.g. trend extrapolations, judgements about what the Fed will do, guesses about the future path of oil prices, etc.). I wouldn't recommend
using random draws for future (ex ante) X values, but as you see it solves the mechanical problem.

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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