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