How to build a Time-series model that can predict the value of the dependent variable?

[Kleon Marenas]

Dear all,

I need your help.

I have a sample of 300 firms and I have the financial statements of these firms for the period 2011-2022 (approximately 2.000 obs). My sample is unbalanced.

I have a model like the following:
financial_distress_t= a +b1 income_t + b2 leverage_t+ b3 size_t +et

If I wanted to run OLS (as panel data) then I would regress the model above.

What I want to do is to forecast If the independed variables income, leverage, size (for the years 2011-2019) can predict the value of the dependent for the year 2020.
I think that I need to used time-series, is that correct?

Please, can somebody tell me if I can use these variables to forecast the value of the dependent variable?
I am so confused with this matter.

Thank you in advance
Kind regards,
Kleon

[Daniel Schaefer]

You can set up your panel analysis with the -xtset- command, estimate your regression model with the -xtreg- command, then use the -predict- command to get predicted values from your model. Check the help files associated with each of these commands for the details.