Re: [Gretl-devel] ema, obs and optional parameter
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?
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>
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 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.
Allin.