DPREDICT: Stata module to produce dynamic forecasts for ARIMA(p,s,q) models

Juraj Katriak ()

Statistical Software Components from Boston College Department of Economics

Abstract: dpredict calculates dynamic predictions from the arima command. The predictions calculated by dpredict} are all out-of-sample predictions, each based on a different subsample. The horizon of the predictions (how many periods ahead) is specified by the periods(#) option. The subsamples, which the predictions are based on, change sequentially.

Language: Stata
Requires: Stata version 9
Keywords: prediction; dynamic forecasts; ARIMA (search for similar items in EconPapers)
Date: 2006-05-23, Revised 2006-09-04
Note: This module may be installed from within Stata by typing "ssc install dpredict". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dpredict.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dpredict.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s456729

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