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

Author

Listed:
  • Christopher F Baum

    (Boston College
    DIW Berlin)

Programming Language

Stata

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.

Suggested Citation

  • Christopher F Baum, 2013. "STATICFC: Stata module to compute static forecasts for a recursive rolling regression," Statistical Software Components S457607, Boston College Department of Economics, revised 13 Aug 2013.
    • Handle: RePEc:boc:bocode:s457607
    Note: This module should be installed from within Stata by typing "ssc install staticfc". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/s/staticfc.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/_/_staticfc.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/s/staticfc.sthlp
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