STATICFC: Stata module to compute static forecasts for a recursive rolling regression

Christopher Baum

Statistical Software Components from Boston College Department of Economics

Abstract: staticfc runs a specified linear regression on a recursive rolling sample: that is, on a sequence of estimation periods successively including each additional period. It then generates an out-of-sample, or ex ante, forecast and standard error of forecast for each estimation period. These variables (along with the number of degrees of dfreedom used for each period) are returned. The actual series and its recursive ex ante forecast may optionally be graphed, along with its 95% confidence interval.

Language: Stata
Requires: Stata version 10.1
Keywords: forecasting; ex ante forecast; time series; rolling regression (search for similar items in EconPapers)
Date: 2013-03-03, Revised 2013-08-13
Note: This module should be installed from within Stata by typing "ssc install staticfc". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/s/staticfc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/_/_staticfc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/s/staticfc.sthlp help file (text/plain)

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