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st: Forecast Interval - Dynamic Prediction


From   Alejandro Mosiño <Alejandro.Mosino@univ-savoie.fr>
To   statalist@hsphsun2.harvard.edu
Subject   st: Forecast Interval - Dynamic Prediction
Date   Tue, 01 Feb 2011 14:15:19 +0100

Hello,

This is an old issue in statalist, but i couldn't find a satisfactory solution.

After ARIMA (ARMAX) estimation, command "predict" jointly with option "mse" seems to work very good to compute one-step-ahead forecast intervals. But what about h-step-ahead forecasts? Is there a way to compute a kind of "dynamic" forecast intervals? (I mean, an option, command, or maybe somebody has an ado file.)

Thank you very much,

Alejandro
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