Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: ARMAX dynamic forecast confidence intervals


From   "Prata, Adriana" <Adriana.Prata@clark.wa.gov>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: ARMAX dynamic forecast confidence intervals
Date   Wed, 5 Sep 2007 11:13:52 -0700

I have never posted a question on the Statalist, I hope this is the
correct way to do it. My question is below, thank you!

I am running an ARIMA model with additional predictor variables (ARMAX)
to forecast sales tax collections.  I am using dynamic forecasts to
produce 20-step ahead forecasts (20 future months).  How do I build the
confidence intervals? I generated the mse, took the square root to
obtain the standard error (SE), and used the SE and the formula for 95%
confidence intervals, however the SE is the same for all forecasted
observations and the confidence bands do not widen.  How do I calculate
"dynamic" confidence intervals? Thank you for your help!

Adriana Prata

 

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index