Estimating and forecasting for one day with no equal sample

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Afterall
Posts: 16
Joined: Tue May 27, 2014 7:49 am

Estimating and forecasting for one day with no equal sample

Postby Afterall » Tue Mar 10, 2015 5:33 am

I have a series of €/ruble exchange rate and oil price for 2014. And I want to test and forecast an equation: rube=b1+b2*oil+b3*ruble(-1)
I have the sample time from 1/1/2014 to 3/31/2014 and I did a forecast for 4/1/2014.
But Now I want to estimation the equation with sample 1/1/2014 to 4/1/2014 and do a forecast for 4/2/2014 and save to rublef.
And then estimate with sample 1/1/2014 to4/2/2014 and forecast 4/5/2014 and save this value to rublef.

So, the main problem: How to estimate and forecast with different samples and save forecasted value to new forecasted serie. I think this can be solved with some FOR cases, but I do`t know how.
I hope anyone know this.
Attachments
ruble_2014.wf1
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trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Estimating and forecasting for one day with no equal sam

Postby trubador » Tue Mar 10, 2015 5:37 am

You can (re)search for rolling forecast.

Afterall
Posts: 16
Joined: Tue May 27, 2014 7:49 am

Re: Estimating and forecasting for one day with no equal sam

Postby Afterall » Wed Mar 11, 2015 2:48 am

Thank you. I didn't know the right word for those kind of forecasting. I've found the code and idea and did the program, and works correct.
If will anyone search for this problem, here is all:
ftp://ftp.physics.uoc.gr/pub/tmp/Panago ... s/roll.htm


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