forecasting_lecture_04

# forecasting_lecture_04 - 1 Lecture Notes 4 1 Confidence...

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Unformatted text preview: 1 Lecture Notes 4 1. Confidence Intervals Point estimate is a single number, like ˆ To calculate a confidence interval, we start with the following equation : 1 ˆ . ˆ Pr c j j j c t error std t where Pr denotes probability t c the critical value from the t-distribution associated with a is the level of significance, usually = 5% 1 – is the chance that the true parameter lies within that interval ) ( . and ˆ error std are estimated values from your OLS regressions. β is the true value. 1 ˆ , ˆ ˆ , Pr error std t error std t c j c . Subtracting j ˆ from both sides gives: 1 ˆ , ˆ ˆ , ˆ Pr error std t error std t c j c j ....
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forecasting_lecture_04 - 1 Lecture Notes 4 1 Confidence...

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