Page 1 of 1

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

Posted: Sun Oct 11, 2015 6:00 am
by rbgentile
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?

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

Posted: Sun Oct 11, 2015 7:22 am
by startz
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)