Re: [Gretl-users] confidence intervals
On Sat, 8 Dec 2012, Miviam wrote:
I have tried what you suggested me and every change I imagined and I
keep
getting the same.
This is what I have in the script:
arima 0 1 1 ; 0 1 1 ; y --nc
addobs 12
smpl --full
fcast --out-of-sample
matrix yhat = $fcast
matrix se=$fcerr
matrix ci = (yhat - 1.96*se) ~ (yhat + 1.96*se)
series fc1=yhat[,1]
series minor=ci[,1]
series mayor=ci[,2]
.and this is what I get
For 95% confidence intervals, z(0.025) = 1.96
y prediction std. error 95% interval
1997:06 132791. 33883.8 66379.9 - 199202.
1997:07 178246. 34280.3 111058. - 245434.
1997:08 130851. 34672.3 62894.7 - 198808.
1997:09 119282. 35059.9 50565.9 - 187998.
[and so on]
Can you please tell me what am I doing wrong?
What makes you think there's something wrong? (Notice, you
have a pure IMA model with no AR component.)
Allin Cottrell