ARIMA_FORECAST: Stata module to compute ARIMA forecast standard errors and generate dynamic forecasts

Ariel Linden

Statistical Software Components from Boston College Department of Economics

Abstract: arima_forecast is a post-estimation command for arima that computes forecast standard errors for ARIMA models and generates dynamic forecasts with confidence interval using the theoretical variance formula for ARIMA models, following the approach implemented in R's predict.Arima function from the stats package. These standard errors lead to wider (and more realistic) confidence intervals than those produced in Stata using manual computation with predict ..., mse as standard errors. arima_forecast optionally generates a forecast plot similar to that produced by the forecast package in R.

Language: Stata
Requires: Stata version 11
Keywords: ARIMA; forecasts (search for similar items in EconPapers)
Date: 2025-12-21, Revised 2026-01-31
Note: This module should be installed from within Stata by typing "ssc install arima_forecast". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/a/arima_forecast.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/arima_forecast.sthlp help file (text/plain)

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