Sourav,
You can restrict the estimation of the arima model to the historical
or estimation sample and a forecast over the out-of-sample validation
segment with commands similar to
. arima consump m2 if tin(, 1981q4), ar(1) ma(1)
. arima consump m3 if time < 76, ar(1) ma(1)
. predict forecast if time != e(sample)
or
. predict forecast if time > 74
Regards,
Bob Yaffee
Robert A. Yaffee, Ph.D.
Research Scientist
Silver School of Social Work
New York University
----- Original Message -----
From: Nick Cox <[email protected]>
Date: Monday, February 25, 2008 6:56 am
Subject: st: RE: Out of Sample forecasting
To: [email protected]
> The -help- for -arima postestimation- says this under -predict-:
>
> "These statistics are available both in and out of sample...."
>
> That's true more generally.
>
> Nick
> [email protected]
>
> Sourav Batabyal
>
> Is there any command to do out of sample forecasting in STATA? Suppose
> I
> run
> ARIMA till Feb 2008 and want to forecast from March 2008 till December
> 2008!
>
> *
> * 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/
*
* 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/
