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st: time series forecasting using ADL(p,q) and rolling pseudo out-of-sample regression
From
"Adrian Fath" <[email protected]>
To
<[email protected]>
Subject
st: time series forecasting using ADL(p,q) and rolling pseudo out-of-sample regression
Date
Fri, 20 Aug 2010 22:06:56 +0200
Hello there,
I have a time series (1991/1 until 2010/3) with the two variables Y and
X.
For now I am not concerned with the leg length, but simply (doubt that
this is so simple?!) want to run an ADL(2,2) model.
In 2004/1 I want to start performing pseudo out-of-sample forecasts with
rolling regressions (length 12 months). As I see it I would need 75
seperate regression.
I am not so firm in Stata programming, but I would guess that this could
be accomplished using loops?!
I hope I have made myself clear?! Is there anyone who can help me? Help
is greatly appreciated!!!
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