Forecast SE with lagged dependent variables

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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Forecast SE with lagged dependent variables

Postby aimbra » Wed Jan 24, 2018 10:14 am


I need some help about forecasting standard errors in a lag dependent model (with and without coef uncertainty).

Eviews give me forecasted series but i can't manage to check values using formula in EViews Users Guide ( ... asics.html).

Could you explain which formulas does EViews use to calculate it for both with and without coef uncertainty (i understand it is a recursive one) ?


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