Dear All,
This is my first time on this platform. I have one question that I would like assistance from you. I am currently working on a topic, which aims at evaluating whether forecasts of government revenue are optimal. I am using the theoretical framework developed by Elliot, Komunjer, and Timmermann (2005) regarding the asymetric loss function. To cut the long story short, I came up with this equation:
E[w(forecast error-(1-2a)|forecast error|)]=0, which is equal to forecast error=(1-2a)|forecast error|+bw+error
I want to use the generalised method of moments to estimate a. Now here is my question how must deal with (1-2a) in the equation when inputing in stata? Your assistance is much appreciated.
Kind regards,
Clement
This is my first time on this platform. I have one question that I would like assistance from you. I am currently working on a topic, which aims at evaluating whether forecasts of government revenue are optimal. I am using the theoretical framework developed by Elliot, Komunjer, and Timmermann (2005) regarding the asymetric loss function. To cut the long story short, I came up with this equation:
E[w(forecast error-(1-2a)|forecast error|)]=0, which is equal to forecast error=(1-2a)|forecast error|+bw+error
I want to use the generalised method of moments to estimate a. Now here is my question how must deal with (1-2a) in the equation when inputing in stata? Your assistance is much appreciated.
Kind regards,
Clement
