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From |
Christopher Baum <kit.baum@bc.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
re: st: Out-of-sample forecasting using OLS regression |

Date |
Mon, 20 Aug 2012 23:36:56 +0000 |

<> Edin said I am currently working on my master thesis which is focused on the Dynamic factor model forecasting. Unfortunately, I got stuck at the out-of-sample forecasting. After running OLS regression when I try to do out-of-sample forecast, Stata generates the missing values for all the observations. 2011m12 is the last observation in my sample, afterward data set was expanded. I am using following command after running regression: predict pcpi if t>tm(2011m12) I would really appreciate if somebody could tell me what the potential source of this problem is and how I could solve it. I am confused by the mention of 'dynamic factor model', as there are such models (-dfactor-) in Stata. But I think what Edin means is that he wants to do out-of-sample dynamic forecasting from a plain OLS regression. This can (currently only) be done with -arima-, which despite its name can estimate OLS regressions, and can generate dynamic forecasts (help arima postestikmation) from a model such as y_t = b0 + b_1 y_t-1 + x_t + epsilon_t. As Nick Cox points out, you must have values of x_t defined during the ex ante forecast 'period. But in a dynamic forecast, you need not have values of y_t-1 beyond the estimation sample. Kit Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/

**Follow-Ups**:**Re: st: Out-of-sample forecasting using OLS regression***From:*Edin Zoronjic <edinvz@gmail.com>

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