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st: Standard error of the forecast and multivariate regression

Subject   st: Standard error of the forecast and multivariate regression
Date   Tue, 29 Oct 2013 16:52:06 +0000

Hello all,

This is probably a statistical question, but I wondered if anyone could 
help me.

I was wondering if anyone could provide me with a reason why it is not 
possible to generate the standard error of the forecast using -predict 
newvar, stdf- after multivariate regression using -mvreg- ? 
I read somewhere in the help files (although I can't see where now) that 
the -stdf- option can only be used for a regression where the score can be 
calculated using -predict newvar, score-.  Now -mvreg- doesn't allow the 
score option of -predict-, which I'm guessing is why stdf cannot be 
specified.  However this doesn't really explain why the score option is 
not valid for multivariate regression.  Can anyone help?

Is this specific to Stata, or would this be the same in whichever 
statistical package you were using?  I'm just wondering if I could turn to 
R or some other programme.

I'd be grateful for any insights.

Many thanks,



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