Easy Out-of-Sample Forecast Evaluation in Stata

Stata tutorial on applying simple forecast evaluation measures to dynamic out-of-sample predictions from an ARIMA model.
Link to "Gentle Introduction to Stata"
www.amazon.com...
Link to the excellent Introduction to Econometrics Textbook by AH Studenmund:
www.amazon.com...
Link to Jeffrey Wooldridge Introductory Econometrics Textbook:
www.amazon.com...

[@daniilnezhynsky3847]

Truly easy & getting straight to the point! Now the school lectures get overwhelming :). Thanks for the effort you make!
P.S. Info for those who made the same mistake as me while forecasting: if you think that only the tale-part will get a predicting values, this would be wrong. Arima is indeed being made on the basis of the first 12059 observations or so and then these same observations plus all the others get an Arima-prediction. In this video it can only be seen while looking on browse tables after the prediction command and the dummy gen were both executed, since there was no complete plot with prediction for the whole time series.

[@dipenmodi1807]

You rock professor! I eagerly await for more binary output content

[@mikejonaseconometrics1886]

Thank you, I'm working more on time-series material this term, but will return to binary models soon.

[@savannahabdoelhafiezkhan2606]

I loved this video! Thank you! What should I do if I want a rolling window one step ahead forecast?

[@mikejonaseconometrics1886]

Great question! I'd recommend doing the estimation and forecast within a 'foreach' loop, with the endpoint of the sample increasing by one unit each iteration. I don't have a tutorial for this exactly (yet!), but a general loop example can be found here: ruclips.net/video/sT3gjnd9v-k/видео.html
Let me know how it goes!

[@henryeck8015]

@@mikejonaseconometrics1886 Great video, thanks. Like other viewers Savannah and Denny, I would like to be able to make a series of Arima forecasts for t+1. It's quite easy for regression models (save betas, merge to data, generate forecast with linear formula) but to get a rolling estimate from Arima seems to require a deep knowledge of Stata's command language. A video or any pointers would have an appreciative audience. Thanks.

[@SuperJ98]

Amazing lecture. Thank you very much. Unfortunately I can only like once. ;-)
What should I do if I want to make a forecast out of sample 4 steps ahead??

[@mikejonaseconometrics1886]

Thanks! To create a 4-step out-of-sample forecast you first have to add observations to the end of the sample using "set obs `=_N+4'. Then you can estimate the model and forecast using "predict forecastname,dynamic(N)", where N is the last observation number in the original sample.

[@glendurgrantig1391]

really helpful

[@gabrieltemesgen2877]

do you have a video on Diebold Mariano forecasting?

[@asmanoor9361]

Amazing can you explain state space model for yield curve in stata?plz sir I m much anxious about it for my thesis

[@thongthavivannavong8446]

Could you teach ARIMA forecast t+1 for basic please?
I'm quite new to this matter

[@tiaandeswardt7741]

I wanted the ASMR!

[@ryandiedricks435]

Could you do a video on forecasting volitality please

[@mikejonaseconometrics1886]

I'll be working on ARCH/GARCH models soon - thanks for your patience!

[@yimingtao7581]

@@mikejonaseconometrics1886 Thanks! it's really a fantastic video about volatility forecasting and I wonder when the GARCH video will be produced?

[@mikejonaseconometrics1886]

Soon!