Long-horizon predictive regression

#1
Hey guys!

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

We use MatLab, but my MatLab skills are very very basic and I need your help, because i can't find the right answer.


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 (slop estimates) 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 and get the meausures.

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

Thanks in advance!
 
#3
I have the values for the independent variables! But which model should i use for the multiple regression?
Is legit that i run a normal multiple regression with Full Data for my dependend variable, but with the data for the independend variable minus the forecasting horizon?