Estimating Prediction Errors for Individual Forecasts
Posted: Sun Jun 22, 2014 6:02 pm
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
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