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| From | "Adrian Fath" <adriannhfath@gmx.de> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | st: time series forecasting using ADL(p,q) and rolling pseudo out-of-sample regression |
| Date | Fri, 20 Aug 2010 22:06:56 +0200 |
Hello there, I have a time series (1991/1 until 2010/3) with the two variables Y and X. For now I am not concerned with the leg length, but simply (doubt that this is so simple?!) want to run an ADL(2,2) model. In 2004/1 I want to start performing pseudo out-of-sample forecasts with rolling regressions (length 12 months). As I see it I would need 75 seperate regression. I am not so firm in Stata programming, but I would guess that this could be accomplished using loops?! I hope I have made myself clear?! Is there anyone who can help me? Help is greatly appreciated!!! * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/