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by ssperling
Fri Dec 13, 2013 10:43 am
Forum: Estimation
Topic: System estimation dlog spec - offset 1 period?
Replies: 4
Views: 3626

Re: System estimation dlog spec - offset 1 period?

Got it. Appears I didn't truncate my sample when executing the fit command. But the question remains why would a value be calculated in 2013 with the code: create a 1991 2015 smpl 1991 2012 series y=rnd smpl 1991 2015 series x1=rnd series x2=rnd equation eq1.ls dlog(y) dlog(x1) dlog(x2) eq1.fit yf s...
by ssperling
Fri Dec 13, 2013 10:20 am
Forum: Estimation
Topic: System estimation dlog spec - offset 1 period?
Replies: 4
Views: 3626

Re: System estimation dlog spec - offset 1 period?

Let me rephrase: For an equation of the specification: dlog(y) = c(1)*dlog(x1) + c(2)*dlog(x2) + ... + c(n)*dlog(xn), with annual historical data for the endogenous and exogenous variables from 1990 -2012 (and exogenous variables with values to 2023), I would expect the estimate/static forecast to y...
by ssperling
Thu Dec 12, 2013 2:17 pm
Forum: Estimation
Topic: System estimation dlog spec - offset 1 period?
Replies: 4
Views: 3626

System estimation dlog spec - offset 1 period?

I'm estimating a system of equations (essentially a pooled regression) with a series of equations of the following form: dlog(y) = c(1)*dlog(x1) + c(2)*dlog(x2) + c(3)*dlog(x3) The results i'm getting appear to be offset by one period. I.e. charting @pchy(y) vs @pchy(yhat) looks off by a period, but...

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