Estimating Prediction Errors for Individual Forecasts

[tawani]

HI,

I am using Simple Linear regression, M and MM methods. I need to generate estimation errors of individual predictions in Out-of-Sample period. I understand that Forecast command can give forecasts. But is there a way to get individual variances for these forecasts? I understand that it comes from Hat matrix calculation.

Regards,
Vineet

[EViews Gareth]

EViews does not offer forecast standard errors for robust least squares.