Search found 3 matches
- Thu Nov 14, 2024 3:27 am
- Forum: Help With Programming
- Topic: Problems with a loop
- Replies: 2
- Views: 27663
Re: Problems with a loop
Thank you, Tom. 1. Yes, at the end I want to save a file containing 24 columns with 182 forecasts each. FORECAST(STATIC,...) does static forecasts, but if there are lagged dependent variables, it uses the actual data if the lag reaches back before the first forecast period, and uses the forecasted v...
- Thu Oct 31, 2024 9:14 am
- Forum: Looking for Code?
- Topic: LASSO estimation
- Replies: 1
- Views: 27936
LASSO estimation
Hi,
I am looking for RATS code to estimate a model using LASSO.
Reference: R. Tibshirani, Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society. Series B (Methodological). Vol. 58 (1) (1996) 267–288.
Thanks,
I am looking for RATS code to estimate a model using LASSO.
Reference: R. Tibshirani, Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society. Series B (Methodological). Vol. 58 (1) (1996) 267–288.
Thanks,
- Thu Oct 31, 2024 9:01 am
- Forum: Help With Programming
- Topic: Problems with a loop
- Replies: 2
- Views: 27663
Problems with a loop
Hi, I have 24 series (p1, p2,...,p24), each with 1277 daily observations (from 2021:01:01 to 2024:06:30). I want to use observations from 2021:01:01 to 2023:12:31 (observations 1 to 1095) to estimate by OLS an AR(7) model and forecast from 2024:01:01 to 2024:06:30 (observations 1096 to 1277). By the...