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  • Using the output of AR(3) autoregressive model on a holdout sample

    I am trying to use the output of an autoregressive model of order 3 (AR(3)), which was done on an analysis sample, to forecast on a holdout sample (i.e. I am using the split sample technique by dividing the data into two samples). I would like to know if there is a way I forecast this using STATA given that I am using the output of the AR(3) from the analysis sample to forecast the holdout sample.

  • #2
    Please see the output for AR(3) attached. This was carried out of the analysis sample. I am new to STATA and also time series analysis, if you can even help me interpret the coefficients and get the equation to predict the dependent variable ips10 in the holdout sample, I would really appreciate it.

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