Good evening all,
I am using Stata 18.
I am trying to run an ARDL model that predicts one step ahead, replaces the Y-variable with the one-step ahead forecast, and reruns the ARDL model on the next step ahead forecast to then predict a further one step ahead forecast (and so on, and so on).
I am not able to share a snip of the actual data (confidentiality), but am able to provide a very simple analogue that I hope will be sufficient:
The ARDL model would be of the form:
ARDL y x1 x2, trend(time)
Using predict, I could safely predict 1 period forward (i.e., to 2023 in this case, given that I have forecasts for x1 and x2). However, I would like the 2023 number to now reflect as a new Y entry, before running the same regression again (but now with the "updated" Y entry up to 2023, and the subsequent prediction predicting for 2024).
Many thanks and warmest regards,
I am using Stata 18.
I am trying to run an ARDL model that predicts one step ahead, replaces the Y-variable with the one-step ahead forecast, and reruns the ARDL model on the next step ahead forecast to then predict a further one step ahead forecast (and so on, and so on).
I am not able to share a snip of the actual data (confidentiality), but am able to provide a very simple analogue that I hope will be sufficient:
Code:
* Example generated by -dataex-. For more info, type help dataex clear input float time byte(y x1 x2) 2020 28 63 15 2021 79 89 57 2022 84 28 84 2023 . 61 42 2024 . 10 41 2025 . 67 94 end
ARDL y x1 x2, trend(time)
Using predict, I could safely predict 1 period forward (i.e., to 2023 in this case, given that I have forecasts for x1 and x2). However, I would like the 2023 number to now reflect as a new Y entry, before running the same regression again (but now with the "updated" Y entry up to 2023, and the subsequent prediction predicting for 2024).
Many thanks and warmest regards,
