From ignacio.diaz-emparanza@ehu.es Fri Feb 12 13:18:37 2010
From: Ignacio Diaz-Emparanza <ignacio.diaz-emparanza@ehu.es>
To: gretl-devel@gretlml.univpm.it
Subject: Re: [Gretl-devel] ema, obs and optional parameter
Date: Fri, 12 Feb 2010 19:18:30 +0100
Message-ID: <1265998710.2304.41.camel@U001082.ehu.es>
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El vie, 12-02-2010 a las 12:47 -0500, Allin Cottrell escribió:
> On Fri, 12 Feb 2010, Ignacio Diaz-Emparanza wrote:
> 
> > I am teaching on these days a very basic course on forecasting.
> > A part of the course is about smoothing models so I was looking at
> > exponential smoothing and today I was also preparing a script about the
> > Brown models for linear and quadratic local trends.
> >
> > I would like to report some small problems I found:
> >
> > 1- The exponential moving average exist only at the GUI but there is not
> > an equivalent command script for that. I had to prepare a user function.
> 
> Yes, we should probably add a built-in function for that -- or
> maybe extend the current movavg function to accept a fractional
> second argument to produce an EMA?

Yes, I expected this second alternative.

> 
> > 2- When I finished to prepare a first version of this function I noticed
> > that it only worked for quarterly data ( I suppose monthly as well ) but
> > not for annual data. The problem was about the different behaviour of
> > the 'obs' function with annual data (I saw this in the manual for
> > 'genr'). If you use, for example,
> >
> > series s1 = (obs=1) ? y[1] : delta*y+ (1-delta)*s1(-1)
> >
> > this will work for quarterly or monthly data, but not in the same way
> > for annual data. Finally I found a solution, but it implied that my
> > script grew up in 10 lines!
> >
> > Don't you think that 'obs' should work in the same way, idependently of
> > the value of $pd?
> 
> Hmm, what does the dataset look like? The following works
> correctly here:
> 
> <script>
> open data3-6
> series y = Ct
> series s1 = y[1]
> scalar d = 0.5
> s1 = (obs=1) ? y[1] : d*y+ (1-d)*s1(-1)
> print y s1 -o
> </script>

Oh! you got it by accident. Try this other initial value for s1:

<script>
open data3-6
series y = Ct
series s1 = 0
scalar d = 0.5
s1 = (obs=1) ? y[1] : d*y+ (1-d)*s1(-1)
print y s1 -o
</script>

> 
> > 3- Finally I saved my Brown function as a function package ( I
> > uploaded it to the server as well), but I see another small
> > problem: my main function returns a list and if one wants the
> > package to work ok this list is mandatory, but the dialog box
> > says "Assign return value (optional)". ¿is there any way to
> > change this to 'required'?
> 
> What happens if the user doesn't assign the return value?

I suppose internally gretl makes the calculus, but the user obtains
nothing.

> 
> I suppose there may be many functions that don't do anything
> useful (or even visible) if the return value is not assigned,
> while others might print something of interest.  Perhaps we should
> add a field in the function package definition that indicates
> whether or not there's any point in running the function without
> assignment.

Yes, this is a possibility.


-- 
Ignacio Diaz-Emparanza  
DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA)
UPV/EHU
Avda. Lehendakari Aguirre, 83 | 48015 BILBAO
T.: +34 946013732 | F.: +34 946013754
www.ea3.ehu.es 



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