Take themodel Y X0e E e j X 0 E e2 j X Z0 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

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Question: Take themodel Y X0e E[e j X] 0 E e2 j X Z0 where Z is a (vector) function of

Take themodel Y Æ X0¯Åe E[e j X] Æ 0 E

e2 j X

Æ Z0°

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.

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