Hi folks,
Someone could help me to get the proper confidence interverval for forecasting from a differenced arima model. The following example get the forecast, but what about its confidence intervals for y1 and y2.
. webuse air2 .
. gen lnair = ln(air)
. arima lnair, arima(1,1,0)
. tsappend, add(10)
. predict y1, y dynamic(145)
. predict y2, y
. tsline lnair y1 y2
The predict command only gets the standard error of the linear prediction and the mean squared error of the predicted values for the differenced series but not for the undifferenced series, since the y option cannot be combinde with stdp or mse options.
Any suggestion will be wellcome!
Cheers,
Aurelio
Someone could help me to get the proper confidence interverval for forecasting from a differenced arima model. The following example get the forecast, but what about its confidence intervals for y1 and y2.
. webuse air2 .
. gen lnair = ln(air)
. arima lnair, arima(1,1,0)
. tsappend, add(10)
. predict y1, y dynamic(145)
. predict y2, y
. tsline lnair y1 y2
The predict command only gets the standard error of the linear prediction and the mean squared error of the predicted values for the differenced series but not for the undifferenced series, since the y option cannot be combinde with stdp or mse options.
Any suggestion will be wellcome!
Cheers,
Aurelio
