Take themodel where Z is a (vector) function of X The sample is i 1, ,n with i i d observations Assume that Z0 0 for all Z Suppose you want to forecast Yn1 given Xn1 x and Zn1 z for an out of sample observation n 1 Describe how you would construct a point forecast and a forecast interval for Yn1 Y X' e E e X 0 Ele X Z'y

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Question: Take themodel where Z is a (vector) function of X. The sample is i 1, ...,n with i.i.d. observations. Assume that Z0 0

Take themodel Y = X'+e E[e|X]=0 Ele |X] = Z'y

where Z is a (vector) function of X. The sample is i Æ 1, ...,n with i.i.d. observations. Assume that Z0° È 0 for all Z. Suppose you want to forecast YnÅ1 given XnÅ1 Æ x and ZnÅ1 Æ z for an out-of-sample observation n Å1. Describe how you would construct a point forecast and a forecast interval for YnÅ1.

Y = X'+e E[e|X]=0 Ele |X] = Z'y

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