rolling regression and forecast
Posted: Thu May 16, 2019 12:24 am
I need to write a rolling regression and forecast for a series including data of 204 months
The idea is that I divide the whole sample into 2 halves (102 months for each half). I make regression for the first half and use that estimator to forecast the first value of the second half. Then, I update the model every month with the value of previous month.
My programming code is as follows:
================
for !i =102 to 203
smpl 1 !i
equation eq1_!i.ls return_1 c aluminum(-1)
eq1_!i.forecast returnf_1(!i+1)
next
================
I don't know why the result does not match with logics.
Can you please help me!
The idea is that I divide the whole sample into 2 halves (102 months for each half). I make regression for the first half and use that estimator to forecast the first value of the second half. Then, I update the model every month with the value of previous month.
My programming code is as follows:
================
for !i =102 to 203
smpl 1 !i
equation eq1_!i.ls return_1 c aluminum(-1)
eq1_!i.forecast returnf_1(!i+1)
next
================
I don't know why the result does not match with logics.
Can you please help me!