Re: [Gretl-devel] OLS Forecasting
On Sat, Feb 7, 2009 at 3:27 PM, Allin Cottrell
<cottrell(a)wfu.edu> wrote:
This is now implemented on a trial basis in CVS/snapshot, but only
for single-equation OLS at this point. If you estimate a model
where the dependent variable is recognized as the first difference
of another variable, you get the option to integrate (i.e.
produce a forecast in levels).
This is available in the GUI forecast dialog, and also via the
command-line flag --integrate for the "fcast" command.
Testing of this would be nice!
I had tested this new gretl feature using one of my databases. At
first, it worked very fine. But after this initial test I replicate
the estimation (and forecasting) exercise using EViews and I realized
that the results differ.
In gretl I'd selected the option "static forecast" (and the same in
EViews).
After this, I changed the EViews option to "dynamic forecast" and the
results were equal to the gretl "static forecast" predicted values.
Is something wrong?
Best,
Henrique C. de Andrade
Doutorando em Economia Aplicada
Universidade Federal do Rio Grande do Sul
www.ufrgs.br/ppge