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I have quarterly data on inflation from 1990 Quartal 1 to 2016 Quartal 3.

If I want to perform the pseudo out-of-sample forecasting one quarter ahead with an autoregressive function, do I have to estimate the model until 2016 Quartal 2?

When choosing how many lags to include in the AR model (by looking at BIC and AIC) do I have to consider the whole sample or just until 2016:2?

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You should estimate the model with sample until 2016:2 and make a forecast for 2016:3. It is better explained here.

Have you considered to make the pseudo-out-of sample forecasts for longer period? Let's say for all quarters in 2016?

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  • $\begingroup$ I considered it, yes. Let's say i want to forecasting all the four quarter of 2016, in that case should I use data up until 2015:4? And could I use the lag order determined before when forecasting 2016:3, or should I reengage in model selection considering the sample 1990:1-2015:4? $\endgroup$ – Federica Dec 13 '16 at 15:50
  • $\begingroup$ Usually it makes sense to use ARMA(p,q) models for forecasting not further than p or q periods forward. So, if you have ARMA(1,1), you should make a forecast for the next period only. $\endgroup$ – damian Dec 13 '16 at 16:16
  • $\begingroup$ Then, there is a question: how do you want to use your model? If you want to estimate model everytime when new data are available, then I would reestimate model 3-times and make one-step forward predictions for 2016:1-2016:3. If you want to use the same model with the same parameters, then you can estimate the model with data until 2015:4 and make predictions for 2016:1-2016:3. However, prediction in time 2016:2 will be based on 2016:1 and I recommend using actual value, not predicted. You can read about this here: davegiles.blogspot.sk/2013/11/… $\endgroup$ – damian Dec 13 '16 at 16:29
  • $\begingroup$ Thank you for your explanation, I've succeeded in making the one-quarter and three quarters ahead forecasts. However, I have a last question: I would like to make also the 2 quarters ahed forecast, and I begin by estimating the model up until 2015:4 and make a forecast up to 2016:2. Since my forecasting period is 2016:1-2016:3, is the forecasting exercise over or should I estimate the model using observation until 2016:2 and make the forecast fore 2016:3? In this case wouldn't it be just a one period ahead forecast, since i don't have observation for 2016:4? $\endgroup$ – Federica Dec 24 '16 at 9:11

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