AR1 forecasts variability?

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Novi
Posts: 44
Joined: Sun May 16, 2010 11:48 am

AR1 forecasts variability?

Postby Novi » Wed Nov 13, 2013 2:04 am

Hi everyone!
Does any one know how to compute manually the forecasts standard errors for an AR1 model?
I mean, Eviews does provide the series but when I try to replicate it manually I seem to always underestimate the values...

Many thank*
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trubador
Did you use forum search?
Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: AR1 forecasts variability?

Postby trubador » Wed Nov 13, 2013 3:57 am

http://forums.eviews.com/viewtopic.php?f=7&t=465
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Novi
Posts: 44
Joined: Sun May 16, 2010 11:48 am

Re: AR1 forecasts variability?

Postby Novi » Wed Nov 13, 2013 4:51 am

Hi trubador
and thx for the reply! Although...I can't read anything there about how to compute the forecasts standard errors, i.e. the confidence bands around the forecasts, am I missing something?
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