Forecasting Intervals for ARIMA and Holt Winters

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gpatr0n
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Joined: Fri Aug 25, 2017 6:41 am

Forecasting Intervals for ARIMA and Holt Winters

Postby gpatr0n » Fri Aug 25, 2017 12:48 pm

I am working on some revenue projections for work and am brand new to eviews. I have completed the holt-winters and arima forecasts my boss had asked for but he also wanted some "95% confidence intervals" as he calls them. I know it would be more like a 95% prediction or forecasting interval but I have no idea how to calculate these in eviews. Any ideas? Thank you so much in advance.

EViews Gareth
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Re: Forecasting Intervals for ARIMA and Holt Winters

Postby EViews Gareth » Fri Aug 25, 2017 1:09 pm

We do not provide forecast errors for Holt Winters (in fact in traditional Holt-Winters there is no such thing).

For ARIMA, when forecasting, enter a name for the forecast standard error on the forecast dialog, and then produce the bands from that error series.
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gpatr0n
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Joined: Fri Aug 25, 2017 6:41 am

Re: Forecasting Intervals for ARIMA and Holt Winters

Postby gpatr0n » Mon Aug 28, 2017 6:38 am

Is that possible when using the automatic ARIMA option?

EViews Gareth
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Re: Forecasting Intervals for ARIMA and Holt Winters

Postby EViews Gareth » Mon Aug 28, 2017 6:54 am

No, but once you have used the auto-arima to select the best model, you can have it output an equation object with that model, then use the equation to create the intervals.
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gpatr0n
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Joined: Fri Aug 25, 2017 6:41 am

Re: Forecasting Intervals for ARIMA and Holt Winters

Postby gpatr0n » Mon Aug 28, 2017 11:51 am

Once I've selected the best model how do I get that equation? I know how to construct the interval once I have the SE. Thank you so much for your help.

EViews Gareth
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Re: Forecasting Intervals for ARIMA and Holt Winters

Postby EViews Gareth » Mon Aug 28, 2017 12:02 pm

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