Hi,
I am trying to extract levels data from a model I used to forecast which was specified in first differences due to non-stationarity of the data.
I need levels values because I want to calucalte model comparison test statistics such as Theil's U and use the Diebold Mariano/Harvey Newbold Leybourne tests.
I have seen online that it is possible to "inverse difference" data in R and Python, and EViews for that matter. However I couldn't find a similar command in Stata.
Could anyone help me?
Thank you
I am trying to extract levels data from a model I used to forecast which was specified in first differences due to non-stationarity of the data.
I need levels values because I want to calucalte model comparison test statistics such as Theil's U and use the Diebold Mariano/Harvey Newbold Leybourne tests.
I have seen online that it is possible to "inverse difference" data in R and Python, and EViews for that matter. However I couldn't find a similar command in Stata.
Could anyone help me?
Thank you