RE: Authomatic ARIMA Forecasting

[eviewsuser10]

I conducted automatic ARIMA Forecasting. Eviews provides a comparison graph between observed and forecasted values. I just wonder whether Eviews provides confidence intervals for forecasted values. I would appreciate any help.

[EViews Gareth]

Not from the automatic forecasting, but you can create an equation object from the forecast (one of the options on the dialog), and then forecast from that equation, which will give you the full set of forecasting options, including standard errors.

[eviewsuser10]

create an equation object from the forecast (one of the options on the dialog), and then forecast from that equation.

Would you please provide me with any manual link for your procedures?

[EViews Gareth]

http://eviews.com/help/helpintro.html#p ... 23ww154485

http://eviews.com/help/helpintro.html#p ... 23ww181233

[eviewsuser10]

Dear Gareth,

Following your suggestions, I conducted automatic ARIMA forecasting with a seasonal dummy variable and a lagged dependent variable, which gave me ARIMA (0, 1) as the best fitted model. Thus, I used ARIMA (0, 1) with the same model specification with the previous one to forecast with confidence intervals (using static forecasting). Please see the attached. I compared the graphs created by the automatic ARIMA forecasting and by the equation of ARIMA (0,1). I just wonder why two graphs are so different. The first one captured well the volatility of the series. The second one did not. Should both graphs be the same? Any help would be appreciated.

[EViews Gareth]

Its hard to say.