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Re: st: SE of forecast with ARIMA?


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: SE of forecast with ARIMA?
Date   Thu, 08 Jun 2006 16:33:12 -0400

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
yaffee@nyu.edu

----- Original Message -----
From: "Danielle H. Ferry" <dferry@nber.org>
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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