有冇好友知咩叫 error variance of the forecast? [復制鏈接]

引用第14樓迪神於2010-04-06 19:52發表的“”:
再搭單~ [表情]
咁宜家美國經濟差，interest rate係唔係即係跌?
.......

You can say so.

Poor US economy
-> US govt have fiscal and monetary policy to increase money supply (to stimulate economy)
-> money supply increases drops US interest rate

Remember, once the FX rate is pegged, the HK govt can do little on its fiscal and monetary policy, hence cannot control HK interest rate very much, but have to "follow" the pegged currency.

PUSH!!

引用第16樓sy0250358於2010-04-08 22:12發表的“”:
PUSH!!

http://www.runet.edu/~jroufaga/EC421_notes/EC421_ch_4.html

The Least Squares Predictor:

Given the value of x one period after the end of the sample, i.e. xT+1 we can predict the corresponding value of y, i.e. yT+1 .

yhatT+1 = b1 + b2 xT+1

It is interesting to evaluate the forecast error that we will be making:
forecast error (f) = yhatT+1 - yT+1 = (b1- b1 ) +( b2 - b2 ) xT+1 - eT+1
    It easily follows (from unbiasedness and assumption 2) that
        E(f) = 0
    and can be shown that the variance of the forecast error is:
        Var(f) = s2 [1 + (1/T) + (xT+1-E(x))2/S( xt- E(x))2 ]

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I've checked my CFA notes, it only quotes the formula for the variance of the forecast, without any proof.

http://www.math.sfu.ca/~lockhart/richard/804/97_3/lectures/18/web.html

JUST found one more....

seems to be what u wanted.