Re: [Gretl-users] Standard error for confidence intervals
On Fri, 16 Oct 2009, Francisco Sosa wrote:
I am bit eager to know the formula.
The following script illustrates how gretl calculates the forecast
standard errors for an AR(1) model estimated via Prais-Winsten.
<script>
open data9-7
# reserve a couple of observations
smpl ; 1990:2
ar1 QNC 0 INCOME --pwe
# save the Standard Error of Regression and rho-hat
SER = $sigma
rho = $rho
# set forecast range
smpl 1989:1 1990:4
fcast
# save forecast standard errors
series fcerr = $fcerr
# calculate standard errors manually and check
err1 = SER
check1 = fcerr[1990:3] - err1
err2 = sqrt((1 + rho^2) * SER^2)
check2 = fcerr[1990:4] - err2
</script>
Allin Cottrell