Re: [Gretl-devel] fcast(): steps-ahead
Am 20.01.2017 um 16:31 schrieb Sven Schreiber:
Am 20.01.2017 um 16:07 schrieb Artur Tarassow:
> However, I am wondering whether the "rolling window" scheme could be
> added to the fcast command as another option. Of course, this would
> require another input selecting the "window size" then. Even though this
> can easily be programmed using hansl, it may be worth to add this
> natively.
I seem to remember that we had the terminology discussion before. Even
gretl's own help text for "rolling" says that then "forecasts are
recursive" -- which begs the question why this isn't called
"--recursive" in the first place. Or I think it's often called sequential.
So what Artur calls "rolling window" is called just "rolling" outside
of
gretl I think. And yes of course, it would be nice.
thanks,
sven
Of course it may be called "rolling" as the forecasting origin is
rolling over time. But as you said, having a fixed beginning and a
rolling end is typically labeled as (forward) "recursive" I guess.
Exactly, I mean the scheme in which both the sample beginning and sample
end are moving forwards in time at each iteration.
Best,
Artur