operation for future series
Posted: Thu Jul 24, 2014 6:20 am
Hello,
I'm looking to estimate future (expected) values of data.
Suppose my series is labeled X, and the future value is at the period of t+1, that is simply:
Et{Xt+1}
Lagging X, the command is x(-1)
would future expected value be x(+1)?
The point is to account for forward-looking behavior, and in many econometric papers, the professionals denote expected values as such. What no one has explained to me yet is if this can simply be preformed by a simple data manipulation or if contemporaneous data that is shifted ahead by t+1 is just arbitrary and unrelated to "expected values"
If the answer isn't black and white, I'll gladly take a grey answer,
Please advise,
and thanks a lot as always
I'm looking to estimate future (expected) values of data.
Suppose my series is labeled X, and the future value is at the period of t+1, that is simply:
Et{Xt+1}
Lagging X, the command is x(-1)
would future expected value be x(+1)?
The point is to account for forward-looking behavior, and in many econometric papers, the professionals denote expected values as such. What no one has explained to me yet is if this can simply be preformed by a simple data manipulation or if contemporaneous data that is shifted ahead by t+1 is just arbitrary and unrelated to "expected values"
If the answer isn't black and white, I'll gladly take a grey answer,
Please advise,
and thanks a lot as always