Re: [Gretl-devel] OLS Forecasting
On Sun, 8 Feb 2009, Sven Schreiber wrote:
Well I'm kind of shooting in the dark here because I'm not
familiar with
what model setups we're talking about *exactly*. But it kind of sounded
that it was all about whether the dependent variable was in differences
or not. That, however, would not be enough to warrant an I(1) assumption
for the levels. For example, it's perfectly legitimate to formulate a
single-equation error-correction model for I(0) variables, and in that
case the left-hand side variable would appear in differences, but the
levels would be I(0), and still the model would *not* be mis-specified.
You're right. However, in that case you'd have the lagged level as an
explanatory variable. In order to compute proper k-steps-ahead forecasts,
it seems to me (but I need to think about this a little more) that you
have to unravel the autoregressive structure somehow. Hmm.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti