Good morning everybody,
I would like to create a kind of loop to perform and out-of-sample analysis for my monthly data adding one more observation each time for the forecats (one step ahead forecats). This is what I am doing:
First, I am running a baseline regression for a variable on itself lagged one period and then I am adding some other variables to check if the forecast improves. So, my baseline model is like this:
reg variable_x l.variable_x
Then I would like to run that regression model (I guess that I can use the command Arima as well) until a specific date, like this,
reg variable_x l.variable_x if date<tm(2012m01)
And after that I want to predict the observation for the next month
predict p_variable_x if date==tm(2012m01)
Then I repeat the previous steps adding one month in each regression and predicting the next month:
reg variable_x l.variable_x if date<tm(2012m02)
predict p_variable_x if date==tm(2012m02)
reg variable_x l.variable_x if date<tm(2012m03)
predict p_variable_x if date==tm(2012m03)
.......
And so on...
I have about 120 months to forecast, so it is quite tedious to do it one by one. So I would like to know if there is a way to create a kind of loop to perform that forecasts.
Thanks for your help
Related Posts with Create a loop for a one step ahead out-of-sample analisys
Different Number of Observations when using 2SLS and IVprobitHi. I am examining the impact of the migration of one member on children in the migrant's household.…
How to create an index variable and analyze i vs. i - 1 (long data)How could I create a variable called test_index to enumerate (from 1 to ...) the tests for each reco…
Is this video correct?I am new to stata. I am trying to learn about loops. I searched youtube I found this video. Is this …
xtabond2 GMM: No Observation ErrorHi, I have an unbalanced panel comprising of data from the years 2005 and 2011. I am trying to run …
Partial F Test or Chow TestStata users I've been searching for a long time. How I can I perform an partial f test in stata? …
Subscribe to:
Post Comments (Atom)
0 Response to Create a loop for a one step ahead out-of-sample analisys
Post a Comment