Page 1 of 1
out-of-sample testing of a regression
Posted: Fri Feb 17, 2012 3:09 am
by teho
I'd like to test my regression model out-of-sample, so I've run an OLS regression for period 2000-2005. I'd like to test the coefficients from this equation in the dataset between 2005-2010. How could the coefficients be fixed in the new regression using data from 2005-2010, so that I'm able to know how well the estimated coefficients fit the data out-of-sample. Thanks in advance
Re: out-of-sample testing of a regression
Posted: Fri Feb 17, 2012 2:52 pm
by EViews Glenn
Look at the discussion of forecasting in the manual.
Re: out-of-sample testing of a regression
Posted: Mon Feb 20, 2012 8:14 am
by teho
Is it possible to get t-statistics and R2 values for the forecasted model?
out-of-sample testing of a regression
Posted: Mon Feb 20, 2012 9:28 am
by EViews Gareth
I'm not sure I follow.
Re: out-of-sample testing of a regression
Posted: Mon Feb 20, 2012 11:48 am
by teho
I Was wondering if it's possible to calculate R^2 for the model and t-values for coefficients, even though they are fixed. have to survive with the statistics given, thanks!
Re: out-of-sample testing of a regression
Posted: Mon Feb 20, 2012 2:17 pm
by EViews Gareth
That doesn't make sense, econometrically.