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Forecasting tools in Stata

Author

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  • Gustavo A. Sánchez

    (StataCorp)

Abstract

After one fits regression models, it is quite common to produce out-of-sample forecasts to evaluate the predictive accuracy of the model or simply to estimate the expected behavior of one or more dependent variables (assuming that the model is valid be yond the estimation sample). I selected a few examples to illustrate some of the tools available in Stata to produce single or joint forecasts based on parameter estimates from a set of regression models.

Suggested Citation

  • Gustavo A. Sánchez, 2013. "Forecasting tools in Stata," Mexican Stata Users' Group Meetings 2013 06, Stata Users Group.
    • Handle: RePEc:boc:msug13:06
    as

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    File URL: http://fmwww.bc.edu/repec/msug2013/mex13_sanchez_vec.pdf
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    References listed on IDEAS

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    1. Garratt, Anthony & Lee, Kevin & Pesaran, M. Hashem & Shin, Yongcheol, 2012. "Global and National Macroeconometric Modelling: A Long-Run Structural Approach," OUP Catalogue, Oxford University Press, number 9780199650460.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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