want to do 'rolling regression' and 'out-of-sample prediction'. how can i do that?

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I have 100period time series data and want to do 'rolling regression' from t1~t50. After that, by doing 'out of sample prediction', using the estimates, want to compare them with raw data.(from t51~t100)

I tried to do 'rolling regression' but don't know how to pick the range. Also please let me know the code of 'out of sample prediction'

thanx

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Answer 1

Sreeja Banerjee 2015-6-8

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Hi Nayeon,

From your question it looks like you want to be able to perform a rolling-Window analysis for checking the stability for your time series model. I am assuming that you have the MATLAB Econometrics Toolbox. Based on this assumption, I wanted to point you to some documentation that illustrates how you can do this:

1. Rolling-Window Analysis of Time-Series Models: http://www.mathworks.com/help/econ/rolling-window-estimation-of-state-space-models.html

2. Time Series Regression Forecasting: http://www.mathworks.com/help/econ/examples/time-series-regression-vii-forecasting.html

3. Econometrics Toolbox Documentation: http://www.mathworks.com/help/econ/index.html