Am 28.07.2015 um 19:43 schrieb Allin Cottrell:
At the Berlin gretl conference Marcin asked me if it would be
possible
to enable use of "dataset addobs" within functions.
I can see the point in this: if you're writing a package that's intended
to do forecasting, it would be very useful to be able to add
observations, even if just temporarily. This is now in not-CVS [
http://ricardo.ecn.wfu.edu/pub/gretl/gretl-updates.tgz ] and snapshots
(on
ricardo.ecn.wfu.edu).
You can use "dataset addobs" in a function only if the end of the sample
range, on entry, is the end of the dataset (i.e. $t2 cannot be
restricted, though $t1 could be). And when the function exits the extra
observations disappear. So if you want to return an out of sample
forecast you'd have to do that in the form of a matrix.
I'm not saying by any means that there's an urgent need for action, but
I don't understand why out-of-sample forecasting would have to be
"crippled" in this way.
In my view producing out-of-sample forecasts is one of the central aims
of applied time-series econometrics. Gretl then says "sorry I don't
support this (fully) with my built-in objects series and lists, it makes
me uneasy". Not exactly a first-class treatment, no?
thanks,
sven