Dear Statalist,

I would like to ask a question about the forecast command when using panel data. I have read the official documentation but unfortunately cannot figure out what is causing my problem.

I have a strongly balanced panel and would like to make forecasts into the future. In order to evaluate the "quality" of these forecasts, I would like to estimate my model on a subset of the observations, compute the dynamic forecasts (for let's say 5 periods into the future) and then compare my forecasts to the actual values available in my dataset. Keeping only 1 variable (y) and 5 panels with 20 periods each, this is what my data may look like.

Code:
* Example generated by -dataex-. To install: ssc install dataex
clear
input long ID float date long y
1 21561  938
1 21562 2061
1 21563    0
1 21564  851
1 21565  564
1 21566  630
1 21567  564
1 21568 1188
1 21569 1868
1 21570    0
1 21571  702
1 21572  589
1 21573  626
1 21574  589
1 21575 1020
1 21576 1492
1 21577    0
1 21578  860
1 21579  526
1 21580  533
3 21561   42
3 21562   73
3 21563    0
3 21564    4
3 21565   44
3 21566   16
3 21567  158
3 21568   51
3 21569  123
3 21570    0
3 21571    5
3 21572   23
3 21573    6
3 21574   96
3 21575   62
3 21576   86
3 21577    0
3 21578   12
3 21579   78
3 21580   25
4 21561 1609
4 21562 2171
4 21563   36
4 21564  753
4 21565  826
4 21566  673
4 21567  897
4 21568 1747
4 21569 2683
4 21570   28
4 21571  703
4 21572  581
4 21573  814
4 21574 1067
4 21575 1872
4 21576 2586
4 21577   18
4 21578  786
4 21579  612
4 21580  644
7 21561  237
7 21562  306
7 21563    0
7 21564  271
7 21565  218
7 21566  263
7 21567  254
7 21568  239
7 21569  293
7 21570    0
7 21571  832
7 21572  331
7 21573  298
7 21574  316
7 21575  159
7 21576  182
7 21577    0
7 21578  293
7 21579  329
7 21580  278
8 21561 1676
8 21562 1933
8 21563  284
8 21564 1455
8 21565 1367
8 21566 1517
8 21567 1592
8 21568 2382
8 21569 2515
8 21570  522
8 21571 1939
8 21572 1595
8 21573 1385
8 21574 1670
8 21575 2524
8 21576 2611
8 21577  361
8 21578 1701
8 21579 1659
8 21580 1782
end
format %tdnn/dd/CCYY date
I will keep the model as simple as possible just to highlight the main point. The problem is that the static and dynamic forecasts produced by stata are exactly the same; after some investigation I realized they are exactly the same as the predicted values of my model.

Code:
xtset ID date

qui: xtreg y l1.y if date <= td(26/1/2019), fe
predict autoreg_fe_hat, xb
estimates store tot

forecast create autoreg_fe_model, replace
forecast estimates tot, name(autoreg_fe_y, replace)

forecast solve, begin(td(27/1/2019)) end(td(31/1/2019)) static prefix(static_)
forecast solve, begin(td(27/1/2019)) end(td(31/1/2019)) prefix(dynamic_)

estimates clear

browse ID date autoreg_fe_hat static_autoreg_fe_y dynamic_autoreg_fe_y if date >= td(27/1/2019)
It makes completely sense to me that the predicted values from the model and the static forecasts coincide, as the static forecasts correctly use the actual value of the lagged variable when producing the prediction for the next period (which is equivalent to computing a predicted value in my simple model). What is puzzling me is that the dynamic forecasts are apparently computed the same way, whereas I would have expected Stata to use the forecasted values to compute the next period forecast. In my opinion, the dynamic and static predictions should coincide only in the 1st period of the forecasting horizon; then starting from the second period, they should begin to be different (unless the model's predictions are perfect).

The only way I can achieve what I expect is to manually replace the true values of my y variable over the forecasting horizon with the forecasted values. In this way I am "forcing" Stata to use the forecasted values in place of the actual ones when it computes the forecasts. This time the forecasts differ from the predicted values (as expected), but the dynamic and static forecasts are still the same.

Code:
drop static_autoreg_fe_y dynamic_autoreg_fe_y

replace y = autoreg_fe_hat if date == td(27/1/2019)
qui: xtreg y l1.y if date <= td(26/1/2019), fe
replace y = _b[_cons] + _b[l1.y]*y[_n-1] if date > td(27/1/2019) & date <= td(31/1/2019)

forecast solve, begin(td(27/1/2019)) end(td(31/1/2019)) static prefix(static_)
forecast solve, begin(td(27/1/2019)) end(td(31/1/2019)) prefix(dynamic_)

browse ID date autoreg_fe_hat static_autoreg_fe_y dynamic_autoreg_fe_y if date >= td(27/1/2019)
To sum up, it seems that the default option for Stata is a static forecast, regardless of whether the user specifies the static option or not. Is it possible that the forecast command is not properly working with panel data when asked to produce dynamic forecasts? Am I missing something?

Any kind of support would be very much appreciated. Many thanks in advance!