Back-casting using VARs

[Christos Makridis]

Hi everyone,

I have a setup where I've got industry and occupation level data on a variable for a set of years, but would like to "back-cast" it to estimate values in prior years. I would use other data that's obviously available over the whole time series, and I've got a measure of the back-casted variable in the aggregate (but not at the detailed industry and occupation level).

The VAR command should be able to do this, right? I've googled around and haven't found something speaking directly to this though.

[Christos Makridis]

I should also have mentioned that it's probably feasible to do this using reg3-- in theory you can just use the "predict" option, but I think that's not adding the structure that a VAR would introduce.