Confidence intervals for ARIMA/ARMA models

[Maria Philiposian]

Hii

I am currently working with an ARIMA and ARMA model, and would love to have a 95% confidence band around my forecast.
Is it somehow possible to apply it automatically to the graph along with the forecast?

I am using the arimaasoc code to select the best model for my forecast.
Thank you in advance.

Best,
Maria

[Andrew Musau]

Could you please provide a little more context for your question? Are you referring to confidence intervals related to certain estimates? Currently, you've only mentioned a command for selecting the number of AR and MA lags in an ARMA model.

[Maria Philiposian]

Hi Andrew

Of course, sorry. I'll attach the code :



clear all

import excel "C:\Users\tu4i\OneDrive\D.xlsx", sheet("D") firstrow clear


*Drop variables*
drop R U

*Format data*
gen months = tm(2021m1)+_n-1
format %tm months
tsset months, monthly

twoway (tsline Home)



************************************************** ******************************
* Autoselektion *
************************************************** ******************************

* Graf *
*twoway (line Home months, sort), title("Home hours (2021-2023)")

*arimasoc select the best model *
arimasoc Home

regress H L(1/2).H

*save estimates *
estimates store home_est

*Forecast*
arima Home, arima(2,0,0)
tsappend, add(12)
predict fhjem, y dynamic(m(2024m1))
label variable fhome "Forecast Home"
twoway (line fhome months) (line Home months)

[Maria Philiposian]

I was specifically thinking about confidence bands like the picture attached and not just lines