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Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict
From
Richard Herron <[email protected]>
To
[email protected]
Subject
Re: st: Re: Out of sample predictions and removing seasonal adjustments using ARIMA and predict
Date
Sun, 11 Sep 2011 16:47:58 -0400
The final pieces are:
(1) make the series stationary "on the fly" with _S4_ and _D_ so that
I can use _predict_ to get back the original series
(2) use _, y_ so that _predict_ returns the prediction in levels.
Here's the complete solution:
* begin code
webuse friedman2, clear
tsappend, last(2000q4) tsfmt(tq) // add observations
generate l_m1 = log(m1)
arima DS4.l_m1, ar(1) ma(4) noconstant
predict p_l_m1 if tin(1998q4, 2000q4), y dynamic(q(1998q3))
generate p_m1 = exp(p_l_m1)
* end code
*
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