Hi,
I am currently working to generate a 1-step ahead forecast from recursively estimating a Vector Autoregression Model, similar to a real-time forecast. At present, I am building this using the 'forvalues' command, and storing my results. My questions are as follows:
1. In 'forecast compute', is there any way for me to suppress the initial datapoint in the 1-step ahead forecast? By this, I mean that the command generates forecasts that replicate data from the current time period, which I would like to exclude.
2. Having done so, how should I go about, in the loop, saving the results to a time series containing all the 1-step ahead forecasts? I've tried the replace command, but that would delete the previous 1-step ahead forecasts.
My code at the moment is rather simple, and is as follows:
forvalues p = 150(1)225 {
var x in 1/`p', lags(1/14)
fcast compute fin8_, nose replace
}
Thanks!
I am currently working to generate a 1-step ahead forecast from recursively estimating a Vector Autoregression Model, similar to a real-time forecast. At present, I am building this using the 'forvalues' command, and storing my results. My questions are as follows:
1. In 'forecast compute', is there any way for me to suppress the initial datapoint in the 1-step ahead forecast? By this, I mean that the command generates forecasts that replicate data from the current time period, which I would like to exclude.
2. Having done so, how should I go about, in the loop, saving the results to a time series containing all the 1-step ahead forecasts? I've tried the replace command, but that would delete the previous 1-step ahead forecasts.
My code at the moment is rather simple, and is as follows:
forvalues p = 150(1)225 {
var x in 1/`p', lags(1/14)
fcast compute fin8_, nose replace
}
Thanks!
