st: ARIMA postestimation/ Dynamic forecasting with AR(12) model

["Michael Crain" <michaelcrain@hotmail.com>]

I am having trouble with the syntax with the postestimation of an AR(12) 
model (using monthly data).

My various data sets (balanced and unbalanced) look like this:

Sales_amt           Yr_mo
$xxxxx                2002m1
$xxxxx                2002m2
$xxxxx                2002m3
....                       ...
$xxxx                  2005m10

My AR(12) model runs through 2004m8 (not 2005m10).  I want to predict what 
Sales_amt would have been starting 2004m9 using Dynamic forecasting.  
Accordingly, I have done the following:


-- arima  sales if tin( , 2004m8), ar(12) --

(output ommitted)

I am having trouble with the syntax for the Dynamic forecasting.  I want the 
dynamic forecasting to begin with the forecast for 2004m9.  I tried the 
following syntax but it did not work as the results were nonsensical:

-- predict saleshatdy, dynamic(m(2004m8)) y --

The nonsynsical results were:

sales	yr_mo	saleshatdy
8335.21	2002m1	812.2243
11773.63	2002m2	812.2243
13615.85	2002m3	812.2243
6669.48	2002m4	812.2243
7144.34	2002m5	812.2243
6052.71	2002m6	812.2243
5556.54	2002m7	812.2243
6330.65	2002m8	812.2243
3391.77	2002m9	812.2243
4546.76	2002m10	812.2243
5290.41	2002m11	812.2243
5745.89	2002m12	812.2243
6149.88	2003m1	1063.088
11435.43	2003m2	361.4133
10813.48	2003m3	401.9798
8201.24	2003m4	966.1082
6670.49	2003m5	993.3638
6884.43	2003m6	917.3016
3662.71	2003m7	881.8058
9301.96	2003m8	940.1202
4651.49	2003m9	684.044
8462.30	2003m10	798.1374
8384.00	2003m11	864.058
8367.59	2003m12	895.7506
9300.54	2004m1	926.8094
11379.53	2004m2	349.3701
11794.66	2004m3	332.2561
10372.96	2004m4	1058.651
6026.79	2004m5	966.7421
5919.31	2004m6	978.1514
7074.07	2004m7	709.3981
4652.76	2004m8	1103.654
1253.90	2004m9	803.2082
6906.79	2004m10	1069.426
4061.47	2004m11	1065.623
7766.54	2004m12	1064.355
8382.98	2005m1	1103.02
12928.70	2005m2	346.8347
10155.60	2005m3	362.681
8504.59	2005m4	320.2129
8116.69	2005m5	914.1323
3983.16	2005m6	905.8923
4829.42	2005m7	991.4623
3219.39	2005m8	996.9477
4668.28	2005m9	806.5094
5054.59	2005m10	975.2522

(The 812.2243 for the first 12 observations is the constant in the model.  
The other saleshat amounts are nonsensical.)

Again the above example is for an AR(12) model.  In addition to dynamic 
forecasting for an AR(12) model, I am also using dynamic forecasting for the 
following models:
AR(1)
AR(1) with differencing
AR(12) with differencing

I would appreciate help on the dynamic forecasting syntax as discussed 
above.

Thanks in advance.

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