How to do OUT OF SAMPLE forcasting

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tomato_wang
Posts: 10
Joined: Mon Jul 04, 2011 4:07 am

How to do OUT OF SAMPLE forcasting

Postby tomato_wang » Fri Jul 08, 2011 3:10 pm

Hi, I want to do the out of sample forecasting. And I am a beginner to do programming.
My sample data ranges from 1929m07 to 2009m12. The equation is Yt=a+bXt-1. I want to use 20 years monthly return(1929m07 to 1948m 07) to forecasting the return of 1948m08 and then use 1929m08 to 1948m08 data to forecasting the return of 1948m09........on and on ....
Who knows how to do this programming...or you can teach me how to do the out of sample test.

Thank you so much.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: How to do OUT OF SAMPLE forcasting

Postby EViews Gareth » Fri Jul 08, 2011 3:17 pm

You're actually describing a rolling forecast. For a beginner that can be a bit intimidating. There are lots of examples on the forum though. Reading through here is probably a good place to start:
http://forums.eviews.com/viewtopic.php?f=15&t=878

tomato_wang
Posts: 10
Joined: Mon Jul 04, 2011 4:07 am

Re: How to do OUT OF SAMPLE forcasting

Postby tomato_wang » Sun Jul 10, 2011 8:08 am

Thank you so much.


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