Forecast option of estimation command


I use the latest version 4.1.1 to perform a Bayesian estimation. In the User Guide (page 55) and User Manual (page 40), it is mentioned that there is a forecast option in the estimation command. The forecasts will contain two confidence intervals, one is due to parameter uncertainty (HPDinf, HPDsup) and the other is due to parameter uncertainty and future shocks (HPDTotalinf, HPDTotalsup).

But when I run the following simple code, the ouput forecasting field only produces the first set of interval, HPDinf and HPDsup. There is no second interval, HPDTotalinf and HPDTotalsup. Please advise how to get the second interval.


roman.mod (648 Bytes)RGDP.xls (13.5 KB)

Dear Eric,

we have changed the graphics but omitted to modify the manuals. Thanks for reporting it.

You have now two type of graphs: one entitled (mean) forecast where the confidence interval describes the influence of uncertainty about the parameters on the forecast of the mean of the variable. The second graph, entitled (point) forecast where the confidence interval combines the uncertainty from the parameters with the uncertainty about future shocks.



Dear Michel,

Thank you for the clarification.