[Gretl-devel] Re: Simulating a simultaneous system

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.

fact it failed ("missing data": it wasn't reaching far enough back for pre-sample values). That's now fixed in git: F2 is identical to the last 12 rows of Sim2.