Re: [Gretl-users] confidence intervals
On Tue, 4 Dec 2012, Miviam wrote:
I'm trying to write an script to save the confidence intervals
after a
forecast for an ARIMA model but the confidence intervals all have the same
size. I read that someone experimented the same problem some time ago. How
can I get the correct values? which are supposed to increase over time.
They will increase over time only if the forecast is dynamic. The
most natural way to ensure that is to forecast out of sample.
<hansl>
open data9-7
# out-of-sample observations to reserve
scalar os = 8
smpl ; -os
arma 1 1 1 ; QNC
fcast --out-of-sample
matrix yhat = $fcast
matrix se = $fcerr
matrix ci = (yhat - 1.96*se) ~ (yhat + 1.96*se)
matrix results = yhat ~ se ~ ci
colnames(results, "yhat s.e. low high")
print results
</hansl>
Allin Cottrell