forecasting

crowek

New member
Hi,

I am looking for help about forecasting. I am estimating a SURE model with inst option. My variable is in first difference. I need to get forecast for the variable in levels, but the model is estimated in first difference for unit root issues. Is there a way to convert the forecasted values (both in sample and out of sample) from first differences to levels ? Do you have worked examples for such problems ? Is the command FORECAST good also for in-sample forecasts ? Each time I try to use it, when I try to compare forecasted values with actual values I get always the time series of the actual values, for in sample forecasts. Am I using the right command ?

Please help.

I didn't find the right solution from the Internet.

References:-
https://estima.com/forum/viewtopic.php?f=13&t=12
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Thanks!
 
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