Re: [Gretl-users] Standard error for confidence intervals
On Fri, 16 Oct 2009, Francisco Sosa wrote:
Hi
I have sent an e-mail to the mailing list, but I haven’t got so much
success, I am going to rewrite the question to make it more
understandable (I am not a native English speaker)
Basically, I have a dynamic prediction and I do not know why the
standard error grows up (see below), does anybody have the formula or
any paper where I can look into, thanks
Any econometrics textbooks will do. In short, the reason why the standard
error grows is that you use y_{t-1} to forecast y_{t}; if y_{t-1} is known
with certainty, clearly the variance of your forecast is smaller than if
y_{t-1} has to be forecast itself.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti