Long-horizon predictive regressions

Hey guys!

My MatLab skills are very very basic and I need your help, because i can't find the right answer here.

So for an assignment I have to compute some long-horizon predictive regressions. Univariate, bivariate and multiple.

I collected all my monthly data (From 1963:07 to 2016:12) for the dependend and the independend variables and my task is now to compute monthly long-horizon predictive regressions with the forecasting horizons 1,6,9,12,24,36 and 48 months. I need the R² and t-statistics for each of those horizons.

So i only know how to do basic linear regressions and I am completly lost now. I have no idea how to compute those different forecasting horizons.

So does anyone know the right solution to my problem or could help me?

Thanks in advance!

Answer 1

[Pawel Jastrzebski]

The R value calculation is available in Matlab:

• <https://uk.mathworks.com/help/matlab/ref/corrcoef.html R coefficient>As for the t-test, you'll need a Statistical Toolbox for the off-the box function. However, if you read up on the t-test, you'll be able to write up your own t-test function in Matlab, as it's not very complicated:
• t-test doc

I'll bet you've got Excel installed on your computer. If so, go to the following tab and find the help file for the t-test analysis. In there you'll find the formulas for all different types of the t-test. Though,this Data Analysis tab is sometimes disabled. But you can easily enable it in the add-on section of the settings - 3 seconds with google and you'll find the way to enable it. It's actually recommended that you do it this way as there are different types of the t-test and you need to understand the differences and choose the right one for your application.