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
