I am trying to forecast my dependent variable 9 periods ahead, having history of 25 years. I have panel data with 34 countries and 25 years for each country – 850 observations in total. Currently I am having hard times with making predictions based on my models (pooled ols and time specific fixed effects) due to the fact, that I have many countries with their specific historical values of the dependent variable. But I want to use the results of my models to make those predictions 9 periods ahead.
The model: y = x1 + x2 + x3
pooled <- plm(log(Depvar+1)~lag(x1,8)+lag(x2,8)+lag(x3,8), index=c("country","year"), data=RMB2, model="pooling")
The code for forecasting (tried numerous combinations, but the best result so far is the same predicted value 9 periods ahead):
forecast = forecast(pooled1[["model"]][,1],h=10)
Probably I need to introduce a training set, but not sure how.
Hope someone may help me.