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st: Forecast Interval - Dynamic Prediction
From
Alejandro Mosiño <[email protected]>
To
[email protected]
Subject
st: Forecast Interval - Dynamic Prediction
Date
Tue, 01 Feb 2011 14:15:19 +0100
Hello,
This is an old issue in statalist, but i couldn't find a satisfactory
solution.
After ARIMA (ARMAX) estimation, command "predict" jointly with option
"mse" seems to work very good to compute one-step-ahead forecast
intervals. But what about h-step-ahead forecasts? Is there a way to
compute a kind of "dynamic" forecast intervals? (I mean, an option,
command, or maybe somebody has an ado file.)
Thank you very much,
Alejandro
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