I am using reg to estimate a time series regression of the form
y(t) = a + by(t-1) + cx(t) +dz(t) + u(t),
where y(t-1) was generated by lagging y one time period
I want to be able to predict values of y for the later portion of my sample
and compare these with the actual values. In models with no lagged
independent variables I would use predict. In this model I want to forecast
recursively, using the previous forecast to estimate the next, and not the
predefined y(t-1) variable. If I use:
predict yhat, bx
stata uses the predefined y(t-1) variable rather than recursively estimating
y and feeding it back into the model. What command in stata would do the
recursive trick?
thanks,
Martin
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