Hi,
I am trying to come up with the rolling window (4 quarters) out-of-sample forecast of the variable "change_UR" given the regression:
regress change_UR L.Adv_GDP L.L2_Earn L.L1_MktRet
I am trying to follow closely the procedure described in Exemple 3 there:
http://www.stata.com/manuals13/tsrolling.pdf
Here is a small sample of the data I have:
I have tried to run the following code, that is very similar to the one from the previous link:
but I am getting the following error:
I'm trying to figure out what I'm doing wrong compared to the example. Can someone help? Thanks!
I am trying to come up with the rolling window (4 quarters) out-of-sample forecast of the variable "change_UR" given the regression:
regress change_UR L.Adv_GDP L.L2_Earn L.L1_MktRet
I am trying to follow closely the procedure described in Exemple 3 there:
http://www.stata.com/manuals13/tsrolling.pdf
Here is a small sample of the data I have:
Code:
Adv_GDP L1_MktRet L2_Earn change_UR qyear 1.3542733 -.0525302 .0576684 -.1 1985q1 1.742562 .1639288 .0583243 .2 1985q2 3.270377 .0146729 .0731678 -.3 1985q3 2.3530061 -.0376909 .0769057 -.1 1985q4 3.201371 .0982357 .0716404 .2 1986q1 1.0765585 .1516437 .0446049 0 1986q2 2.4140789 .0604246 .070034 -.2 1986q3 1.7474467 -.1089304 .0755718 -.4 1986q4 4.2991076 -.017095 .073609 0 1987q1 2.5909416 .2284597 .0426735 -.4 1987q2 3.8376508 .0043504 .0838878 -.3 1987q3 4.1507856 .0337914 .0803058 -.2 1987q4 2.2659635 -.2970338 .0840421 0 1988q1 3.0886553 .1733465 .056771 -.3 1988q2 2.2367273 .0440215 .0903041 0 1988q3 1.9900388 -.0077611 .0850306 -.1 1988q4 5.5463842 -.0290976 .0819561 -.3 1989q1 1.6759617 .083172 .0611651 .3 1989q2 2.5010395 .0463988 .086163 0 1989q3 .50058866 .0551755 .0831587 .1 1989q4 2.0957625 -.0681087 .0799775 -.2 1990q1 1.2198228 -.0096593 .0509076 0 1990q2 1.7928733 .0229173 .0826091 .7 1990q3 -2.1314299 -.2151108 .0763973 .4 1990q4 -2.8109207 -.0262132 .0721894 .5 1991q1
Code:
use cost_stick_regression.dta, clear tsset qyear program myforecast_test7, rclass syntax [if] regress change_UR L.Adv_GDP L.L2_Earn L.L1_MktRet `if' // Find last time period of estimation sample and // make forecast for period just after that summ qyear if e(sample) local last = r(max) local fcast = _b[_cons] + _b[L.Adv_GDP]*Adv_GDP[`last']+ _b[L.L2_Earn]*L2_Earn[`last'] + _b[L.L1_MktRet]*L1_MktRet[`last'] return scalar forecast = `fcast' // Next period’s actual return // Will return missing value for final period return scalar actual = change_UR[`last'+1] end rolling actual=r(actual) forecast=r(forecast), recursive window(20): myforecast_test7 corr actual forecast
but I am getting the following error:
Code:
Rolling replications (93) ----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee 50 eeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee . . corr actual forecast no observations