CODEWITHSUNDEEP
statapredictpanel-data
rajvijay
rajvijay

Reputation: 1721

Stata fixed effects out of sample predictions

I am running a fixed effect model using Stata, and then performing out of sample predictions. But seems 

xtreg

followed by 

predict yhat, xbu

does not predict out-of-sample along with the fixed effects. Is there a way to use xtreg for out of sample by including the fixed effect? Illustration:

webuse nlswork
xtset idcode year
regress ln_wage age if year <= 80
predict temp1

xtreg ln_wage age if year <= 80, fe
predict temp2, xbu

For my case, I need to predict values for year = 81. And temp2 is empty for years > 80. Reading the manuals for xtreg, and also for areg, seems like out of sample predictions are not possible especially with xbu -- which includes fixed effect predictions. It is understandable that if I used the year fixed effect it does not make sense, but if I just used idcode it should be possible? Any advice would be deeply appreciated. Or any advice on how I can get the solution for it?

It seems to to generate only for all years <= 2000. That is I am able to generate predictions only for in sample.

Upvotes: 1

Views: 5490

Answers (1)

dimitriy
dimitriy

Reputation: 9460

You can extend the FE out of sample since it is time invariant and then add it to the rest of the prediction, which is available out of sample:

capture ssc install carryforward
xtreg ln_wage age if year <= 80, fe
predict xb_plus_a, xb
predict fe, u
carryforward fe, replace
gen yhat2 = xb_plus_a + fe

Upvotes: 5

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