Re: [Gretl-devel] OLS Forecasting
On Mon, 9 Feb 2009, Allin Cottrell wrote:
In fact the tracking of lags/differences is by now fairly robust
(with regard to non-standard naming of the transformed variables,
for instance). Provided, that is, that the transformations are
done within gretl.
That's good to know. Admittedly a corner case, but: suppose I did
something silly like
<script>
nulldata 48
setobs 12 1990:1
x = normal()
sdx12 = sdiff(x)
setobs 4 1980:1
sdx4 = sdiff(x)
<script>
would everything be ok?
(For data read from a third-party source, with
transformations already present, we could perhaps add a "dataset
analyse" command to figure out any such relationships among the
variables -- if we thought that was worthwhile.)
IMO it should be up to the user to create lags/differences if the internal
tracking mechanism is expected to work.
However, right now we have no mechanism to track the status of a
term such as (y_{t-1} - x_{t-1}), which would be needed to do a
proper dynamic forecast for a single-equation EC model.
Hmm. True. In this case, however, the user is likely to go for a
multivariate model, since you need the future values of x_t anyway.
Unless, that is, x_t is assumed to be strictly exogenous (ie non-Granger
causal). But if it's so, I guess the user is savvy enough to estimate a
VAR/VECM with restrictions and go from there.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti