A large-scale application of Stata's forecast suite: challenges and potential

Christopher Baum

United Kingdom Stata Users' Group Meetings 2015 from Stata Users Group

Abstract: Stata 13 added a very important feature for macroeconomists: the forecast suite of commands that implements the definition of a model, consisting of a number of estimated equations and potentially nonlinear identities. Stata’s features include model solution, dynamic forecasting, scenario analysis and stochastic simulation. I report on my attempt to apply the forecast suite to a well-known large-scale macroeconomic model. I discuss the challenges related to use of these features in a much more complex context than that illustrated in the manual’s examples. I will also suggest a number of enhancements that would improve forecast’s capabilities in comparison to other popular forecasting tools.

Date: 2015-09-16
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug15:12

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