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Re: st: problem with time series forecasting
Predict uses one-step ahead prediction based on a Kalman filter. If these
are iterated, they constitute one-step ahead iterated projection based on
the previous forecasts. If you want to predict x instead of dx, use
predict raw, y. Dynamic forecasts are based on actual values up to the
point of forecast.
- Bob Yaffee
Robert A. Yaffee, Ph.D.
Shirley M. Ehrenkranz
School of Social Work
New York University
2100 Linwood Ave.
Fort Lee, NJ
----- Original Message -----
From: Edgard Alfonso Polanco Aguilar <email@example.com>
Date: Monday, January 23, 2006 2:27 pm
Subject: st: problem with time series forecasting
> 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
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
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