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st: ARMAX dynamic forecast confidence intervals

From   "Prata, Adriana" <[email protected]>
To   <[email protected]>
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


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