recursive regression forecast

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Afsaneh
Posts: 11
Joined: Sun Jun 22, 2014 6:59 am

recursive regression forecast

Postby Afsaneh » Sun Jun 22, 2014 8:35 pm

Hi,

I have a linear regression with an in-dependant variable. I estimated this equation for in-sample result for the period 1994m12 to 2007m08. Now I need to use that estimation to do one step ahead out-sample forecast for the period 2007m08 to 2014m02. I need to save the forecasted independant variable for evaluation of out-sample result. AS I've read in this forum, it's a recursive forecast regression. My question : How should i change rolling regression to get the recursive regression forecast and how can I save predicted dependant variable?

Many Thanks,
Afsaneh

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: recursive regression forecast

Postby EViews Gareth » Mon Jun 23, 2014 7:55 am



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