Forecast
Comparing Autoregressive Time-Series Models to Forecast GDP
I’m currently taking an intro to econometrics course this semester. Over the last two weeks, the topic was about time-series regressions. Although I’m pretty skeptical about the ability of mankind to predict the future, it’s quite fascinating to see how much money analysts and forecasters in big firms can make in a year. So, I decided to take it a shot.
In this article, we will discuss briefly about the most basic time-series econometrics models called autoregressive models. We will also learn a little bit about data management in STATA, especially for time-series data. Our objective here is to learn STATA by example, and hopefully, we will be able to figure out how these models would perform against each other using the data of world countries’ GDP.