Hello everyone!
I need your help.
I have a sample of 300 enterprises, for the years 2010-2020. My observations are almost 2000. My sample is not balanced.
I run a model as the one it follows:
Y= a+ b1 X1 +b2 X2+ b3 X3 + b4 X4+ b5 X5+ et
I would like to make a forecast (ex-post forecasting) of the value of my dependent variable for the years 2019 and 2020 in order to understand if the independent variables of the past (2010-2017) affect the value of the dependent variable in the future (years 2019 and 2020).
To do so, I used the following code:
arima Y X1 X2 X3 X4 X5, arima(2,0,2)
predict YF, dynamic
and these are the results:
I would like to ask:
Kind regards
Kleon
P.s. I am not very familiar with advanced statistics so If you can recommend me a paper or a book that can help me to use forecasting I would be grateful!
I need your help.
I have a sample of 300 enterprises, for the years 2010-2020. My observations are almost 2000. My sample is not balanced.
I run a model as the one it follows:
Y= a+ b1 X1 +b2 X2+ b3 X3 + b4 X4+ b5 X5+ et
I would like to make a forecast (ex-post forecasting) of the value of my dependent variable for the years 2019 and 2020 in order to understand if the independent variables of the past (2010-2017) affect the value of the dependent variable in the future (years 2019 and 2020).
To do so, I used the following code:
arima Y X1 X2 X3 X4 X5, arima(2,0,2)
predict YF, dynamic
and these are the results:
| OPG | ||||||
| Y | Coef. | Std. Err. | z | P>z | [95% Conf. | Interval] |
| X1 | -160.5081 | 1.319629 | -12.16 | 0.000 | -1.863723 | -1.346439 |
| X2 | .505218 | .0172183 | 29.34 | 0.000 | .4714707 | .5389652 |
| X3 | 4.458896 | 1.056467 | 0.42 | 0.673 | -1.624.747 | 2.516526 |
| X4 | 3.283943 | 1.672604 | 1.96 | 0.050 | .0569942 | 6.562187 |
| X5 | 4.341003 | 2.557169 | 1.70 | 0.090 | -6.709.564 | 9.352962 |
| _cons | -2.172456 | 1.480361 | -1.47 | 0.142 | -5.073.911 | 7.289985 |
| ARMA | ||||||
| ar | ||||||
| L1. | -1.948064 | .0235443 | -82.74 | 0.000 | -199.421 | -1.901918 |
| L2. | -.9853945 | .0233688 | -42.17 | 0.000 | -1.031196 | -.9395926 |
| ma | ||||||
| L1. | 1.937255 | .0319802 | 60.58 | 0.000 | 1.874575 | 1.999935 |
| L2. | .9743701 | .031694 | 30.74 | 0.000 | .912251 | 1.036489 |
| /sigma | 150.1485 | .7347909 | 204.34 | 0.000 | 1.487083 | 1.515886 |
- Does this table show me if the independent variables forecast the future value of the dependent variable?
- If yes, what tests do I have to run in order to be sure for the fit of the model?
- The sigma value, which is 150.1485 signals a problem?
- After predicting the YF I suppose that I have to compare acctual values and predicted. In this case do I need MSE or something else?
Kind regards
Kleon
P.s. I am not very familiar with advanced statistics so If you can recommend me a paper or a book that can help me to use forecasting I would be grateful!
