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st: problem with time series forecasting


From   Edgard Alfonso Polanco Aguilar <[email protected]>
To   statalist <[email protected]>
Subject   st: problem with time series forecasting
Date   Mon, 23 Jan 2006 14:27:24 -0500

Dear statalisters,

I've been working with time series in stata 9. I use the command
"arima D.x, ar(p) ma(q)". Where D.x = x(t) - x(t-1). Then I need to
forecast using that same model.

The steps I use are:
1- Expand the number of observations to fill them with the forecasted values.
2- Use "predict" both static and dynamic.

The problem I'm having is that predict gives me the values of x(t) -
x(t-1) and when I use "predict xhat, y" stata gives me the forecast
only one period ahead.

Given this I have the following questions:
1- Is there any way to predict the real values (x instead of D.x)?
2- What does "dynamic" exactly does? I've been experimenting with that
option and I find that the value of the forecasting depends on the
value specified in the option.

Thak you very much
Edgard

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