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jackkk · 2025年05月13日

老师,这里点估计的置信区间不是应该是用+1。96*点估计的标准误吗,为什么直接用的residual的sd?

NO.PZ2024120401000032

问题如下:

A linear time trend model is estimated on annual real euro-area GDP, measured in billions of 2010 euros, using data from 1995 until 2018. The estimated model is :

The estimate of the residual standard deviation is :

What are the values of point forecast and 95% confidence interval (assuming Gaussian white noise errors) for the next year(2019)?

Note that t is the year, so that in the first observation, t = 1995, and in the last, t = 2018

选项:

point forecast confidence interval

A.

10,847.2 +/- 515.1

B.

10,725.9 +/- 515.1

C.

10,847.2 +/- 457.25

D.

10,968.5 +/- 457.25

解释:

Note that there is no AR or MA component, so the variance remains constant. Therefore, the 95% confidence interval is +/- 1.96*262.8 = +/- 515.1 about the expected value.

As for the expected means: E[RGDP2019 ] = -234178.8 + 121.3 * 2019 = 10,725.9

如题

老师,这里点估计的置信区间不是应该是用+1。96*点估计的标准误吗,为什么直接用的residual的sd?

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