Erika--
Do you want something like this?
sysuse sp500, clear
sort date
gen t=_n
tsset t
g y=close if t<200
arima d.y vol t
predict yhat, y dyn(199)
line close yhat date
or am I misunderstanding your desideratum? Probably the time series
book by Bob Yaffee would help, but it's not published yet...
On 8/30/07, Erika Morris <[email protected]> wrote:
> Dear Statalist users:
>
> I have time series data and would like to use levels of one variable
> (X) to forecast changes in another variable (Y) over multiple periods.
> In other words, I want to estimate something like the following
> equation:
>
> Yt+k - Yt = b*Xt + error,
>
> where k>1.
>
> It looks like the "arima" command and "predict" postestimation do
> something similar, but based on my reading of the Time Series manual
> they only calculate one-step-ahead forecasts. I would like to use the
> actual value of Xt to forecast changes in Y over longer periods (k).
>
> I would appreciate any advice you may offer. Thank you!
>
> Erika (first time poster, frequent reader)
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
