EViews.com

Hello!
As I understand, there are standard formulas to calculate a forecast standard error and they are in EViews Users Guide. But as I can see from results, when I calculate SE for forecast by equations with ARMA, it doesn’t converge with given formulas. Could you explain, which formulas does EViews use to calculate it?

The simple formula we provide in the manual is for the non time-series case. The time-series form has to account for the uncertainty generated by the AR and MA terms. It's a complicated recursive formula which is why we don't write it out in the manual...

Glenn,

I have a simple linear trend with AR2 (or, precisely lagged dependent variable) model as follows:
yt=a0+a1*y(t-1)+a2*y(t-2)+bt+et. Can you please explain how the eviews come up with a three-step-ahead forecast s.e. as an illustation? I assume it is not based on the delta method. Many thanks.