Stata 15 help for forecast solve

[TS] forecast solve -- Obtain static and dynamic forecasts

Syntax

forecast solve [, { prefix(stub) | suffix(stub) } options]

options Description ------------------------------------------------------------------------- Model * prefix(string) specify prefix for forecast variables * suffix(string) specify suffix for forecast variables begin(time_constant) specify period to begin forecasting + end(time_constant) specify period to end forecasting + periods(#) specify number of periods to forecast double store forecast variables as doubles instead of as floats static produce static forecasts instead of dynamic forecasts actuals use actual values if available instead of forecasts

Simulation simulate(sim_technique, sim_statistic sim_options) specify simulation technique and options

Reporting log(log_level) specify level of logging display; log_level may be detail, on, brief, or off

Solver vtolerance(#) specify tolerance for forecast values ztolerance(#) specify tolerance for function zero iterate(#) specify maximum number of iterations technique(technique) specify solution method; may be dampedgaussseidel #, gaussseidel, broydenpowell, or newtonraphson ------------------------------------------------------------------------- * You can specify prefix() or suffix() but not both. + You can specify end() or periods() but not both.

sim_technique Description ------------------------------------------------------------------------- betas draw multivariate-normal parameter vectors errors draw additive errors from multivariate normal distribution residuals draw additive residuals based on static forecast errors ------------------------------------------------------------------------- You can specify one or two sim_methods separated by a space, though you cannot specify both errors and residuals.

sim_statistic is

statistic(statistic, {prefix(string) | suffix(string)})

and may be repeated up to three times.

statistic Description ------------------------------------------------------------------------- mean record the mean of the simulation forecasts variance record the variance of the simulation forecasts stddev record the standard deviation of the simulation forecasts -------------------------------------------------------------------------

sim_options Description ------------------------------------------------------------------------- saving(filename, ...) save results to file; save statistics in double precision; save results to filename every # replications nodots suppress replication dots reps(#) perform # replications; default is reps(50) -------------------------------------------------------------------------

Description

forecast solve computes static or dynamic forecasts based on the model currently in memory. Before you can solve a model, you must first create a new model using forecast create and add equations and variables to it using the commands summarized in [TS] forecast.

Options

+-------+ ----+ Model +------------------------------------------------------------

prefix(string) and suffix(string) specify a name prefix or suffix that will be used to name the variables holding the forecast values of the variables in the model. You may specify prefix() or suffix() but not both. Sometimes, it is more convenient to have all forecast variables start with the same set of characters, while other times, it is more convenient to have all forecast variables end with the same set of characters.

If you specify prefix(f_), then the forecast values of endogenous variables x, y, and z will be stored in new variables f_x, f_y, and f_z.

If you specify suffix(_g), then the forecast values of endogenous variables x, y, and z will be stored in new variables x_g, y_g, and z_g.

begin(time_constant) requests that forecast begin forecasting at period time_constant. By default, forecast determines when to begin forecasting automatically.

end(time_constant) requests that forecast end forecasting at period time_constant. By default, forecast produces forecasts for all periods on or after begin() in the dataset.

periods(#) specifies the number of periods after begin() to forecast. By default, forecast produces forecasts for all periods on or after begin() in the dataset.

double requests that the forecast and simulation variables be stored in double precision. The default is to use single-precision floats. See [D] data types for more information.

static requests that static forecasts be produced. Actual values of variables are used wherever lagged values of the endogenous variables appear in the model. By default, dynamic forecasts are produced, which use the forecast values of variables wherever lagged values of the endogenous variables appear in the model. Static forecasts are also called one-step-ahead forecasts.

actuals specifies how nonmissing values of endogenous variables in the forecast horizon are treated. By default, nonmissing values are ignored, and forecasts are produced for all endogenous variables. When you specify actuals, forecast sets the forecast values equal to the actual values if they are nonmissing. The forecasts for the other endogenous variables are then conditional on the known values of the endogenous variables with nonmissing data.

+------------+ ----+ Simulation +-------------------------------------------------------

simulate(sim_technique, sim_statistic sim_options) allows you to simulate your model to obtain measures of uncertainty surrounding the point forecasts produced by the model. Simulating a model involves repeatedly solving the model, each time accounting for the uncertainty associated with the error terms and the estimated coefficient vectors.

sim_technique can be betas, errors, or residuals, or you can specify both betas and one of errors or residuals separated by a space. You cannot specify both errors and residuals. The sim_technique controls how uncertainty is introduced into the model.

sim_statistic specifies a summary statistic to summarize the forecasts over all the simulations. sim_statistic takes the form

statistic(statistic, {prefix(string) | suffix(string)})

where statistic may be mean, variance, or stddev. You may specify either the prefix or the suffix that will be used to name the variables that will contain the requested statistic. You may specify up to three sim_statistics, allowing you to track the mean, variance, and standard deviations of your forecasts.

sim_options include saving(filename, [suboptions]), nodots, and reps(#).

saving(filename, [suboptions]) creates a Stata data file (.dta file) consisting of (for each endogenous variable in the model) a variable containing the simulated values.

double specifies that the results for each replication be saved as doubles, meaning 8-byte reals. By default, they are saved as floats, meaning 4-byte reals.

replace specifies that filename be overwritten if it exists.

every(#) specifies that results be written to disk every #th replication. every() should be specified only in conjunction with saving() when the command takes a long time for each replication. This will allow recovery of partial results should some other software crash your computer. See [P] postfile.

nodots suppresses display of the replication dots. By default, one dot character is displayed for each successful replication. If during a replication convergence is not achieved, forecast solve exits with an error message.

reps(#) requests that forecast solve perform # replications; the default is reps(50).

+-----------+ ----+ Reporting +--------------------------------------------------------

log(log_level) specifies the level of logging provided while solving the model. log_level may be detail, on, brief, or off.

log(detail) provides a detailed iteration log including the current values of the convergence criteria for each period in each panel (in the case of panel data) for which the model is being solved.

log(on), the default, provides an iteration log showing the current panel and period for which the model is being solved as well as a sequence of dots for each period indicating the number of iterations.

log(brief), when used with a time-series dataset, is equivalent to log(on). When used with a panel dataset, log(brief) produces an iteration log showing the current panel being solved but does not show which period within the current panel is being solved.

log(off) requests that no iteration log be produced.

+--------+ ----+ Solver +-----------------------------------------------------------

vtolerance(#), ztolerance(#), and iterate(#) control when the solver of the system of equations stops. ztolerance() is ignored if either technique(dampedgaussseidel #) or technique(gaussseidel) is specified. These options are seldom used. See [M-5] solvenl().

technique(technique) specifies the technique to use to solve the system of equations. technique may be dampedgaussseidel #, gaussseidel, broydenpowell, or newtonraphson, where 0 < # < 1 specifies the amount of damping with smaller numbers indicating less damping. The default is technique(dampedgaussseidel 0.2), which works well in most situations. If you have convergence issues, first try continuing to use dampedgaussseidel # but with a larger damping factor. Techniques broydenpowell and newtonraphson usually work well, but because they require the computation of numerical derivatives, they tend to be much slower. See [M-5] solvenl().

Examples

--------------------------------------------------------------------------- Setup . webuse gdpoil

Fit the VAR model and store the estimation results . var gdp oil, lags(1 2) . estimates store var

Extend the dataset three years to 2010 . tsappend, add(12)

Create a forecast model and obtain baseline forecasts . forecast create oilmodel . forecast estimates var . forecast solve, prefix(bl_)

Fill in oil with our hypothesized price path . replace oil = 10 if qdate == tq(2008q1) . replace oil = 10 if qdate == tq(2008q2) . replace oil = 10 if qdate == tq(2008q3) . replace oil = 0 if qdate > tq(2008q3)

Obtain forecasts conditional on the oil variable, using the prefix alt_ for these forecast variables . forecast solve, prefix(alt_) actuals

--------------------------------------------------------------------------- Setup . clear all . webuse klein2 . reg3 (c p L.p w) (i p L.p L.k) (wp y L.y yr), endog(w p y) exog(t wg g) . estimates store klein . forecast create kleinmodel . forecast estimates klein . forecast identity y = c + i + g . forecast identity p = y - t - wp . forecast identity k = L.k + i . forecast identity w = wg + wp . forecast exogenous wg . forecast exogenous g . forecast exogenous t . forecast exogenous yr

Set the random-number seed so the results can be replicated . set seed 1

Solve the model, using the prefix d_ for the forecast variables and the prefix sd_ for the standard deviations of the forecasts . forecast solve, prefix(d_) begin(1936) simulate(betas, statistic(stddev, prefix(sd_)) reps(100))

---------------------------------------------------------------------------

Stored results

forecast solve stores the following in r():

Scalars r(first_obs) first observation in forecast horizon r(last_obs) last observation in forecast horizon (of first panel if forecasting panel data) r(Npanels) number of panels forecast r(Nvar) number of forecast variables r(vtolerance) tolerance for forecast values r(ztolerance) tolerance for function zero r(iterate) maximum number of iterations r(sim_nreps) number of simulations r(damping) damping parameter for damped Gauss-Seidel

Macros r(prefix) forecast variable prefix r(suffix) forecast variable suffix r(actuals) actuals, if specified r(static) static, if specified r(double) double, if specified r(sim_technique) specified sim_technique r(logtype) on, off, brief, or detail


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