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Re: st: Confidence intervals in time series
To obtain forecast intervals with ARIMA, you can
do the following in Stata.
Type: predict forecast
then: predict fvar, mse
Then: generate upper=forecast + 1.96*sqrt(fvar)
generate lower=forecast - 1.96*sqrt(fvar)
Then: tsline y forecast upper lower, title(My Forecast Profile)
Robert A. Yaffee, Ph.D.
Shirley M. Ehrenkranz
School of Social Work
New York University
2100 Linwood Ave.
Fort Lee, NJ
----- Original Message -----
From: Edgard Alfonso Polanco Aguilar <firstname.lastname@example.org>
Date: Thursday, January 26, 2006 1:28 pm
Subject: st: Confidence intervals in time series
> Hello Statalisters
> I'm working in Stata9 SE for Windows with the following time series
> model: arima x, arima(p,d,q) sarima(P,D,Q,S) noconstant. I already
> have forecasted values and now I'm interested in finding the
> confidence intervals for those values.
> I've tried finding the standar errors of the prediction with "predict
> x_error, stdp" but Stata gives me the following error "variable ma not
> found". I know I'm getting this error because the lack of a constant
> term, but when I have it "x_error " contains in every observation the
> standar error of the constant.
> I've also tried with predictnl but somehow I can't figure out the
> rigth syntax.
> Can anybody help me with this?
> Thank you very much
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