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AR1 forecasts variability?

Posted: Wed Nov 13, 2013 2:04 am
by Novi
Hi everyone!
Does any one know how to compute manually the forecasts standard errors for an AR1 model?
I mean, Eviews does provide the series but when I try to replicate it manually I seem to always underestimate the values...

Many thank*

Re: AR1 forecasts variability?

Posted: Wed Nov 13, 2013 3:57 am
by trubador

Re: AR1 forecasts variability?

Posted: Wed Nov 13, 2013 4:51 am
by Novi
Hi trubador
and thx for the reply! Although...I can't read anything there about how to compute the forecasts standard errors, i.e. the confidence bands around the forecasts, am I missing something?