Allin I have tried what you suggested me and every change I imagined and I keep getting the same.
This is what I have in the script: arima 0 1 1 ; 0 1 1 ; y --nc addobs 12 smpl --full fcast --out-of-sample matrix yhat = $fcast matrix se=$fcerr matrix ci = (yhat - 1.96*se) ~ (yhat + 1.96*se) series fc1=yhat[,1] series minor=ci[,1] series mayor=ci[,2] .and this is what I get For 95% confidence intervals, z(0.025) = 1.96 y prediction std. error 95% interval 1997:06 132791. 33883.8 66379.9 - 199202. 1997:07 178246. 34280.3 111058. - 245434. 1997:08 130851. 34672.3 62894.7 - 198808. 1997:09 119282. 35059.9 50565.9 - 187998. 1997:10 176718. 35443.3 107251. - 246186. 1997:11 166081. 35822.5 95869.8 - 236291. 1997:12 164873. 36197.8 93926.3 - 235819. 1998:01 148782. 36569.2 77108.0 - 220457. 1998:02 140043. 36936.9 67647.5 - 212437. 1998:03 153097. 37301.0 79989.0 - 226206. 1998:04 167374. 37661.5 93558.7 - 241189. 1998:05 151507. 38018.6 76991.9 - 226022. 1998:06 133511. 38372.4 58302.9 - 208720. Can you please tell me what am I doing wrong? Thanks 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
Allin I have tried what you suggested me and every change I
imagined and I keep getting the same. This is what I have in the script: arima 0 1 1 ; 0 1 1 ; y --nc addobs 12 smpl --full fcast --out-of-sample matrix yhat = $fcast matrix se=$fcerr matrix ci = (yhat - 1.96*se) ~ (yhat + 1.96*se) series fc1=yhat[,1] series minor=ci[,1] series mayor=ci[,2] …and this is what I get For 95% confidence intervals, z(0.025) = 1.96
y prediction std.
error 95% interval 1997:06
132791. 33883.8
66379.9 - 199202. 1997:07
178246. 34280.3
111058. - 245434. 1997:08
130851. 34672.3
62894.7 - 198808. 1997:09
119282. 35059.9
50565.9 - 187998. 1997:10
176718. 35443.3
107251. - 246186. 1997:11
166081. 35822.5
95869.8 - 236291. 1997:12
164873. 36197.8
93926.3 - 235819. 1998:01
148782. 36569.2
77108.0 - 220457. 1998:02
140043. 36936.9
67647.5 - 212437. 1998:03
153097. 37301.0
79989.0 - 226206. 1998:04
167374. 37661.5
93558.7 - 241189. 1998:05
151507. 38018.6
76991.9 - 226022. 1998:06
133511. 38372.4
58302.9 - 208720. Can you please tell me what am I doing wrong? Thanks 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 |