thank you for your reply Reeza. the one I am mentioning is the formula for regression with auto-regessive errors: v=SQRT( z'Vz + s^2 r) which is in Section "Predicting future series realizations" in http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_autoreg_sect028.htm Also here is what I heard back from SAS: > I heard back from the development and here are the references he was > able to locate that was used to derive at the results: > > Baillie, R., 1979, The Asymptotic Mean Squared Error of Multistep > Prediction from the Regression Model with Autoregressive Errors, > Journal of the American Statistical Association. Vol. 74, No. 365, > Mar., 1979, > 175-184 > > Baillie, R., and Bollerslev, T., 1992, Prediction in dynamic models > with time-dependent conditional variances, Journal of Econometrics, > 52, 91-113. Those two papers are are available on the author's webpage: https://www.msu.edu/user/baillie/JASA_1979.pdf https://www.msu.edu/user/baillie/J_Econometrics.1992.pdf These two papers are helpful, but it's still beyond my capabilities to give a proof of the formula. Hope there could be some experts or smart people that would give a proof for it. thank you again!!
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