Me again,

I've created a test program to illustrate what I'm trying to do. Currently it doesn't want to do the forecast. Can anyone identify what I'm doing wrong?
I think the problem is the setting of the start and end observations. The 3 samples I want to interpolate (4, 5, 6) currently have a value of 0 in the DATASET. This is probably wrong, because the model will be fitted with those 3 zeros. How can I tell the model to ignore those values and only use 0 - 3 and 7 - 10? Is get_forecast even the correct function to use for interpolation?

Regards
Chris

On 2014/05/15 08:02 AM, Riccardo (Jack) Lucchetti wrote:
On Thu, 15 May 2014, GOO Creations wrote:

Hi,

I'm not sure if this is possible in gretl. I want to interpolate a gap
of samples with ARMA by using the value to the left and right of the
gap. If I have data like this:

Time lag:    1    2    3    4    5    6    7    8    9    10    11
Values:        0    0.1    0.2    0.3    *    *    *    0.3 0.2    0.1    0

The values marked with a star are the gap I want to interpolate (at lag
5, 6 and 7: the values should be something like 0.4, 0.5, 0.4 after
interpolation). How would you go about creating a gretl DATASET with
these values? And will the get_forecast function work on "predicting"
the interpolated samples?
I've always used ARMA for out-of-sample forecasts, but never for
interpolation, so I'm not sure if this is possible.

This is absolutely possible via an ARMA model. However, my advice would be to use a state space model and the Kalman filter, which provide a very flexible, natural and flexible framework for problems of this type.


-------------------------------------------------------
  Riccardo (Jack) Lucchetti
  Dipartimento di Scienze Economiche e Sociali (DiSES)

  Università Politecnica delle Marche
  (formerly known as Università di Ancona)

  r.lucchetti@univpm.it
  http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------


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