Thanks, Ray.
--
National Bureau of Economic Research <http://www.nber.org>
---------- Original Message -----------
From: Robert A Yaffee <[email protected]>
To: [email protected]
Sent: Thu, 08 Jun 2006 16:33:12 -0400
Subject: Re: st: SE of forecast with ARIMA?
> Dear Danielle,
> After running your arima, type: predict fev, mse
> That give you the forecast error variance for a one-step ahead
> forecast.
> Then generate ucl=forecast + 1.96*sqrt(fev)
> generate lcl=forecast - 1.96*sqrt(fev)
>
> for your forecast confidence limits.
> - Regards,
> RAY
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Shirley M. Ehrenkranz
> School of Social Work
> New York University
>
> home address:
> Apt 19-W
> 2100 Linwood Ave.
> Fort Lee, NJ
> 07024-3171
> Phone: 201-242-3824
> Fax: 201-242-3825
> [email protected]
>
> ----- Original Message -----
> From: "Danielle H. Ferry" <[email protected]>
> Date: Thursday, June 8, 2006 1:30 pm
> Subject: st: SE of forecast with ARIMA?
>
> > Dear Statalisters,
> > Is there an easy way to get the SE of a prediction or forecast with
> > -arima-?
> > The documentation indicates that there is no "stdp" option with -
> > predict-
> > after -arima-. (Actually, this will produce something - but it is
> > the same
> > number for all observations).
> > Thank you,
> > Danielle Ferry
> >
> > --
> > National Bureau of Economic Research <http://www.nber.org>
> >
> > *
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> >
> *
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------- End of Original Message -------
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