STATICFC: Stata module to compute static forecasts for a recursive rolling regression
Abstractstaticfc 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S457607.
Programming language: Stata
Requires: Stata version 10.1
Date of creation: 03 Mar 2013
Date of revision: 13 Aug 2013
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
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.