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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 22:56:22 -0400

Danielle,
 You're quite welcome.
 - RY

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 4:59 pm
Subject: Re: st: SE of forecast with ARIMA?

> Thanks, Ray.
> 
> --
> National Bureau of Economic Research <http://www.nber.org>
> 
> 
> ---------- Original Message -----------
> From: Robert A Yaffee <bob.yaffee@nyu.edu>
> To: statalist@hsphsun2.harvard.edu
> 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
> > 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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> ------- End of Original Message -------
> 
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