Interval Forecast and/or Density Forecast Code

[liuyucatherine]

Dear Tom,

Is there any available code for generating interval forecast or density forecast with RATS?

All of the following three papers talked about interval and density forecasts. But none of them has provided RATS code for their precedure.

 David E. Rapach and Mark E. Wohar 2006. The out of sample forecasting performance of nonlinear models of real exchange rate behavior. International Journal of Forecasting 22, 341-361.
 Siliverstovs, B., & van Dijk, D. (2003). Forecasting industrial production with linear, nonlinear, and structural change models. Econometric Institute Report EI 2003-16.
 Wallis, K. (2003). Chi-squared tests of interval and density forecasts, and the Bank of EnglandTs fan charts. International
Journal of Forecasting, 19, 165– 175.

I will appreciate any relevant information you provide. Thank you very much!

Catherine Liu