Out-of-sample forecasts after qreg (quantile regression)

[Sam Webb]

Hi Statalisters,

I am trying to do out-of-sample forecasts after conducting a quantile regression. I am able to do in-sample forecasting, however, when I try doing it out-of-sample, I get missing values. My sample ends at 2017q4 but I add 12 more quarters to do the forecasting and get missing values for all observations for "p" (see below).

Below is my code:

qreg y a b
predict yp if time <=tq(2017q4)
tsappend, add(12)
predict p if time>tq(2017q4)

Thanks very much.

Sam.

[Scott Merryman]

You need values for a and b when time > tq(2017q4)

[Sam Webb]

Thanks, Scott.

I do not have values for a and b when time > tq(2017q4). In this case, how can I forecast one-quarter ahead of two-quarters ahead (after running a quantile regression)?

Many thanks.

Sam.