recursive regression forecast
Posted: 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
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