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Re: st: problem with time series forecasting


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: problem with time series forecasting
Date   Mon, 23 Jan 2006 17:22:57 -0500

Edgard,
   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.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Edgard Alfonso Polanco Aguilar <edgard.polanco@gmail.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
> Edgard
> 
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