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RE: st: RE: How to do dynamic forecasts in xtreg (etc.) in Stata 10?


From   Toby Robertson <[email protected]>
To   "[email protected]" <[email protected]>
Subject   RE: st: RE: How to do dynamic forecasts in xtreg (etc.) in Stata 10?
Date   Sat, 14 Dec 2013 08:52:50 +0000

I settled for this (which assumes t=2014 is the first period without data for y, but projected values of x for t>2014 exist in the data):

xtset i t
xtreg y L.y x
predict effect, u
egen u=mean(effect), by(i)
gen yhat=y if t==2013
xtset
replace yhat=_b[L.y]*L.yhat + _b[x]*x + _b[_cons] + u if t>2013

I would still be interested to know whether there is a more general method.

----------------------------------------
> From: [email protected]
> To: [email protected]
> Subject: st: RE: How to do dynamic forecasts in xtreg (etc.) in Stata 10?
> Date: Sat, 14 Dec 2013 05:09:00 +0000
>
> Apologies if this has been asked and answered many times, but what is the easiest way in Stata 10 to create dynamic forecasts from a panel regression (such as xtreg or xtabond) with a lagged dependent variable?
>
> In a time series, one can use -predict- after -arima- (instead of -regress-), but what about when the data form a panel?
>
> Thanks in advance for advice or a pointer to a past answer.
>
> Toby
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