Hello,
I am wondering if anyone good help me to do forecasting on a rolling regression. I am specifically trying to construct a one-month-ahead forecasts for the rolling regression model (window size 60), using a specific time frame of my data (1971M3-1982M2) for the estimation part and reserve the remaining data for out-of-sample forecasting. With each model initially estimated using the first 120 data points and the one-period-ahead forecast is generated. Then dropping the first data point, adding an additional data point at the end of the sample, and re-estimate the model.
I can estimate using the rolling command however the forecast command does not allow for forecasting of rolling regression so I need to do this manually however have no idea how to. I am doing this for my dissertation which is due very soon so any help would be appreciated!!
Thanks
Hannah
I am wondering if anyone good help me to do forecasting on a rolling regression. I am specifically trying to construct a one-month-ahead forecasts for the rolling regression model (window size 60), using a specific time frame of my data (1971M3-1982M2) for the estimation part and reserve the remaining data for out-of-sample forecasting. With each model initially estimated using the first 120 data points and the one-period-ahead forecast is generated. Then dropping the first data point, adding an additional data point at the end of the sample, and re-estimate the model.
I can estimate using the rolling command however the forecast command does not allow for forecasting of rolling regression so I need to do this manually however have no idea how to. I am doing this for my dissertation which is due very soon so any help would be appreciated!!
Thanks
Hannah
