How to compute forecast S.E. ?

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Lyubov
Posts: 19
Joined: Mon Mar 28, 2011 4:06 am

How to compute forecast S.E. ?

Postby Lyubov » Sun Apr 03, 2011 8:55 am

Hello!
Can anybody help me, please?

I want to know, how EViews compute forecast S.E.
I found in User Guide following: For a single equation without lagged dependent variables or ARMA terms, the forecast standard errors are computed as:
Image

But how EViews computes forecast S.E. when there is term ar(1) in mean equation?
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Lyubov
Posts: 19
Joined: Mon Mar 28, 2011 4:06 am

Re: How to compute forecast S.E. ?

Postby Lyubov » Sun Apr 03, 2011 8:58 am

And what is matrix X in this formula, how to get it?
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