Can't Predict Out of Sample Using a Panel Spatial Autoregression for Prediction

[Frank Milbourn]

Hello all,
I am currently trying to predict out-of-sample values after using a panel SAR. Here is the example code:


spmatrix create contiguity W if tm == 1

spxtregress y x

predict y if e(sample) == 1 (In sample prediction)

predict y2 if e(sample) == 1 (out of sample prediction)

error: id() in time 13 is inconsistent with W

As you can see, I can predict within the sample but not outside of it.

[Andrew Musau]

spmatrix create contiguity W if tm == 1

When you are creating your weighting matrix with this restriction, it is possible that not all units are observed. You should go back and pick a time period in which all units are observed.

xttab tm

will tell you how many units are observed for each period.