Prediction Error Variance

[Agnese Barbon]

Hello everyone,

I need to compute the variance of the prediction error, is there a stata command that does it automatically? or i have to do the computation using the matrix formula at the bottom?
The prediction error is the difference between the actual outcome and its prediction and its variance is the following:

Thank you in advance.

Agnese Barbon

[Phil Bromiley]

You'll increase your chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex. If you provided us more of that, we could be clearer about your problem. Different estimators provide different prediction options.

The documentation for Regress Postestimation is clear that predict will predict a standard error of the linear prediction and standard error of the forecast.