I'm puzzled. Attached is an example, g10xrate.xls with 3 graphs:

(1) LOG-RETURNS: forecasts and Prediction Intervals - the forecasts are correct, the prediction intervals are calculated using the formula from mwh3p366.rpf.

(2) LEVELS: forecasts - forecasts are correct and calculated from LOG-RETURNS.

(3) LEVELS: forecasts and Prediction Intervals - I am unclear as to the formula for the prediction intervals.

- Code: Select all
`*===============================`

* read in data

OPEN DATA "/Users/Shared/RATS/Examples/g10xrate.xls"

DATA(FORMAT=XLS,NOLABELS,ORG=COLUMNS,TOP=2) 1 6237 USXJPN USXFRA USXSUI USXNLD USXUK $

USXBEL USXGER USXSWE USXCAN USXITA

*

* transform data into log form

log USXJPN / lUSXJPN

*

* compute diff-log, approx. % percentage change

set dlUSXJPN = 100.0*( lUSXJPN - lUSXJPN{1} )

*

*

*===============================

linreg(define=fxeq) dlUSXJPN 6000 6237

# constant dlUSXJPN{1 to 10}

uforecast(equation=fxeq,stderrs=stderrs) dl_fxfore 6238 6248

*

*

* (1) graph LOG-RETURNS: forecasts and Prediction Intervals

*

set lower95 6238 6248 = dl_fxfore+%invnormal(.025)*stderrs

set upper95 6238 6248 = dl_fxfore+%invnormal(.975)*stderrs

prin 6200 6248 dlUSXJPN dl_fxfore stderrs lower95 upper95

*

graph(footer="LOG-RETURNS: forecasts and Prediction Intervals",ovcount=2,overlay=fan,ovsame) 4

# dlUSXJPN 6200 6237

# dl_fxfore 6238 6248

# lower95 6238 6248

# upper95 6238 6248

*

*

* (2) graph LEVELS: forecasts

*

set level_fxfore 6238 6248 = exp(dl_fxfore)*USXJPN(6237)

prin 6200 6248 USXJPN dl_fxfore level_fxfore

*

graph(footer="LEVELS: forecasts") 2

# USXJPN 6000 6237

# level_fxfore 6238 6248

*

*

* (3) graph LEVELS: forecasts and Prediction Intervals

*

set level_lower95 6238 6259 = exp(level_fxfore+%invnormal(.025)*(stderrs))*USXJPN(6237)

set level_upper95 6238 6259 = exp(level_fxfore+%invnormal(.975)*(stderrs))*USXJPN(6237)

prin 6200 6248 USXJPN dl_fxfore level_fxfore level_lower95 level_upper95

*

graph(footer="LEVELS: forecasts and Prediction Intervals",ovcount=2,overlay=fan,ovsame) 4

# USXJPN 6200 6237

# level_fxfore 6238 6248

# level_lower95 6238 6248

# level_upper95 6238 6248