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STATICFC: Stata module to compute static forecasts for a recursive rolling regression

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Author Info

  • Christopher F Baum

    ()
    (Boston College
    DIW Berlin)

Abstract

staticfc runs a specified linear regression on a recursive rolling sample: that is, on a sequence of estimation periods successively including each additional period. It then generates an out-of-sample, or ex ante, forecast and standard error of forecast for each estimation period. These variables (along with the number of degrees of dfreedom used for each period) are returned. The actual series and its recursive ex ante forecast may optionally be graphed, along with its 95% confidence interval.

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File URL: http://fmwww.bc.edu/repec/bocode/s/staticfc.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/_/_staticfc.ado
File Function: program code
Download Restriction: no

File URL: http://fmwww.bc.edu/repec/bocode/s/staticfc.sthlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S457607.

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Programming language: Stata
Requires: Stata version 10.1
Date of creation: 03 Mar 2013
Date of revision: 13 Aug 2013
Handle: RePEc:boc:bocode:s457607

Note: This module should be installed from within Stata by typing "ssc install staticfc". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: forecasting; ex ante forecast; time series; rolling regression;

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