confidence bands for the sum of two rvs (from pool)

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rbgentile
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Joined: Thu Jun 11, 2015 10:09 am

confidence bands for the sum of two rvs (from pool)

Postby rbgentile » Sun Oct 11, 2015 6:00 am

For EViews 9 -- Trying to calculate confidence bands for a forecast of the weighted average of wages across two states, based on a pooled estimates for fifty states. EViews provides standard errors and confidence bands for a specified confidence level for the individual rvs. Is there a way to obtain the necessary information -- sample sizes, the variances and covariance of the rvs -- to calculate the standard errors for the weighted average?

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

Re: confidence bands for the sum of two rvs (from pool)

Postby startz » Sun Oct 11, 2015 7:22 am

The variance of w_1*x + w_2*y is w_1^2*var(x) +w_2^2*var(y) + 2*w_1*w_2*cov(x,y)


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