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From |
Richard Herron <richard.c.herron@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict |

Date |
Wed, 14 Sep 2011 20:16:13 -0400 |

I should not have -if tin()- in the -predict- command. The correct solution is: * begin code webuse friedman2, clear tsappend, last(2000q4) tsfmt(tq) // add observations generate l_m1 = log(m1) arima DS4.l_m1, ar(1) ma(4) noconstant predict p_l_m1, y dynamic(q(1998q3)) generate p_m1 = exp(p_l_m1) * end code On Sun, Sep 11, 2011 at 16:47, Richard Herron <richard.c.herron@gmail.com> wrote: > The final pieces are: > > (1) make the series stationary "on the fly" with _S4_ and _D_ so that > I can use _predict_ to get back the original series > > (2) use _, y_ so that _predict_ returns the prediction in levels. > > Here's the complete solution: > > * begin code > webuse friedman2, clear > tsappend, last(2000q4) tsfmt(tq) // add observations > generate l_m1 = log(m1) > arima DS4.l_m1, ar(1) ma(4) noconstant > predict p_l_m1 if tin(1998q4, 2000q4), y dynamic(q(1998q3)) > generate p_m1 = exp(p_l_m1) > * end code > * * 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/

**References**:**st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict***From:*Richard Herron <richard.c.herron@gmail.com>

**Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict***From:*Robson Glasscock <glasscockrc@vcu.edu>

**Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict***From:*Richard Herron <richard.c.herron@gmail.com>

**Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict***From:*Richard Herron <richard.c.herron@gmail.com>

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