I have a small time series dataset, a sample of which is below:
year AvgU5MR AvgPov AvgEnrol
2000 126.9307 41.0109 67.11833
2001 123.4138 39.9748 68.66798
2002 119.93 45.85194 65.82739
2003 116.4923 55.3706 69.17756
2004 113.1362 32.63662 70.83884
2005 109.9008 41.08603 75.35649
2006 106.816 43.45722 75.98755
2007 103.8878 19.19114 76.86299
2008 101.1161 38.05993 76.53685
2009 98.50167 21.91146 79.51743
2010 96.03816 36.33022 78.84795
2011 93.71016 35.46586 79.60537
2012 91.49234 24.44083 80.46068
2013 89.36112 79.87075
2014 87.30394
2015
...
2030
I want to create forecasts until 2030 for AvgU5MR (the variable was non-stationary, so I eliminated this through the fourth difference) based on an arima multiple regression estimation with AvgPov and AvgEnrol as my independent variables, so have entered the following into Stata:
> arima D4.AvgU5MR AvgPov AvgEnrol
> predict U5hat, dynamic(2012) y
However, when I do this, Stata only computes the in-sample predictions, and not the out-of-sample forecasts. Any suggestions on how to get the out-of-sample forecast?
I recognize this (How to get Stata to produce a dynamic forecast when using lagged outcome as a regressor?) also deals with dynamic forecasting, but using similar code as provided in the answer to the hyperlink's question did not give me an out-of-sample forecast.
I thank you in advance for your help.
The problem seems to be you are including independent variables, and therefore, estimating an ARMAX model. For the out-of-sample forecasts, you need also values for the independent variables AvgPov and AvgEnrol. The model doesn't estimate them; recall the dependent variable is D4.AvgU5MR.