[Gretl-devel] Re: Simulating a simultaneous system
On Wed, 7 Oct 2020, Sven Schreiber wrote:
Am 06.10.2020 um 21:53 schrieb Allin Cottrell:
> On Tue, 6 Oct 2020, Riccardo (Jack) Lucchetti wrote:
>
>> I just checked. It seems to be ok: $sysA returns the uppermost block
>> of the companion matrix, which is what varsimul wants. I'll add the
>> script (with some brief explanatory text) at the end of
>> doc/tex/system.tex.
>
> OK, nice!
> ...
> <hansl>
> # simulate without any disturbances
> Sim2 = varsimul(A, X, init)
> print Sim2
>
> ft1 = $nobs - 1
> dataset addobs 12
> ft2 = $tmax
> printf "fcast %d %d\n", ft1, ft2
> fcast ft1 ft2 --quiet
> F1 = $fcast
> print F1
>
> print "fcast --out-of-sample"
> fcast --out-of-sample --quiet
> F2 = $fcast
> print F2
> </hansl>
>
> The first use of fcast does not exactly reproduce Sim2; that's because
> the two leading rows are static forecasts rather than actual observed
> values.
Not sure I understand what you mean here?
In the Sim2 produced by varsimul the first two rows are just
original data, the simulation as such begins on row 3. But in fcast
with starting date $nobs - 1 all rows of the output are
"predictions": plain fitted values for the first 2 then dynamic
forecasts for the remainder. The respective dynamic forecasts will
therefore not be the same.
Allin