[Gretl-users] Re: Prediction intervals vs confidence intervals
The word "true" was used to draw attention to the distinction between a
prediction interval for a specific forecast/future value of y arising from
a value x0 and a CI for the regression line in relation to the values of x
in the sample.
The standard error differs between former and latter viz
[image: image.png] defines the standard error of a prediction of y given
a specific value of x0 and
[image: image.png] defines the standard error for the values of y from the
values of x underlying the parameter estimate generating y|x
On Sun, 10 Oct 2021 at 10:50, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 09.10.2021 um 18:09 schrieb Brian Revell:
> Can one assume that the interval in the forecast GUI Analysis option of
> an estimated model is a true prediction interval?. If indeed it is, it
> would also be useful to be able to graph the prediction interval
> surrounding the fitted function values as well as the forecast ones.
Sorry, I think you need to define/explain a little more what you mean by
"true prediction interval".
thanks
sven
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