On Thu, 21 Aug 2008, [iso-8859-1] Ricardo Gonçalves Silva wrote: > Thanks so much. I will try the script now. > Only a newbie question: the fcasts generated are out-of-sample, right?
Yes, the William Greene dataset I used has data for 6 firms from 1970 to 1984. My script estimates the fixed-effects model over the range 1970 to 1979, then generates forecasts for 1970-1984. I produced "forecasts" for all years just to show that the in-sample values agree with $yhat, but presumably it's the out of sample values that are of most interest. Allin Cottrell
