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From |
Ian Sue Wing <isw@bu.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Constructing confidence intervals for a sum of forecasts |

Date |
Mon, 26 Jul 2010 13:00:36 -0400 |

Dear StataListers,

se(Dx_hat+Dy_hat) = sqrt( se_Dx_hat^2 + se_Dy_hat^2 )

From first principles, D.x + D.y = x(t) - x(t-1) + y(t) - y(t-1) var(D.x + D.y) = var(D.x) + var(D.y) + 2 cov(D.x, D.y) Now, var(D.x) = var(x(t)) + var(x(t-1)) - 2 cov(x(t), x(t-1)) = se_Dx_hat^2, with a similar expression for y. What I don't have is the covariance term:

Thanks, -i -- Ian Sue Wing 675 Commonwealth Ave., Boston MA 02215 Associate Professor Tel: (617) 353-5741 Dept. of Geography& Environment Fax: (617) 353-5986 Boston University Web: http://people.bu.edu/isw * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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