(no subject)
by Brian Revell
Is there any reason why recursive forecasts cannot be generated and
included in the ARIMA option for univariate modelling forecasts (together
with their confidence intervals ) when no exogenous variables have been
included in the specification Clearly post sample data the MA terms would
drop out.
Brian
2 months, 2 weeks
Package updates (December 2024)
by Riccardo (Jack) Lucchetti
Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of December 2024, 3
packages were updated to a new version:
"graphlasso", by Sven Schreiber (graphical Lasso --- l1 shrinkage for
covariance matrices)
"lomackinlay", by Allin Cottrell and Sven Schreiber (Lo-MacKinlay
variance ratio test for determining if a time series is a random walk
process)
"BACE", by Marcin Błażejowski and Jacek Kwiatkowski (Bayesian Averaging
of Classical Estimates)
I'll reserve a special mention for the "graphlasso", which now uses a
new internal function to speed up computation.
Sorry if this message comes relatively late in the month, but I was away ;)
Download and enjoy!
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
5 months
ARIMA on log transformed data
by dbrilakis＠yahoo.gr
Hi, I found that my data become stationary (after differentiate) the log data with best ARIMA(p,d,q) How do I rebuilt the ARIMA forecast to the origina scale before log?
Tanks in advance
5 months, 1 week
Gretl Conference 2025, Call for Papers
by Allin Cottrell
The ninth biennial Gretl Conference will be held in the Birmingham
Business School at the University of Birmingham (UK), on June 19-20,
2025. We're pleased to announce that the keynote speaker will be
Anindya Banerjee of the University of Birmingham.
Submissions should be sent by email to GC2025(a)gretlconference.org by
March 15. These may take the form of draft papers or reasonably
complete abstracts. Those submitting proposals will be notified of the
decision made by the Scientific Committee by Monday, March 17.
Contributions may showcase advanced real-world gretl applications,
compare Gretl with other software, or highlight missing functionality
implemented elsewhere. They could also explore innovative teaching
methods using gretl or suggest directions for its future development.
Selected papers from the conference will be published in a special
issue of Computational Statistics under the rubric "Advanced Data
Analysis with gretl".
Allin Cottrell
8 months
Package updates (January 2025)
by Riccardo (Jack) Lucchetti
Dear all,
this message is to inform the community about the activity in our
function package repository: during the month of January 2025, 4
packages were updated to a new version:
"matrix_perf", by Allin Cottrell (matrix multiplication performance test)
"season_plot", by Artur Tarassow (seasonal plots for time-series)
"kmeans.gfn", by Artur Tarassow (K-means clustering algorithm)
"StrucBreak.zip", by Sven Schreiber and myself (autodetection of
structural breaks in linear models, Bai-Perron style)
Download and enjoy!
PS: I've heard reports that downloading data from Yahoo Finance has
become more difficult. However, the two packages we have for the purpose
("GetYahoo", by Yi-Nung Yang and "yahoo_get", by me) work just fine, at
least for now! :D
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
8 months
Assistance Needed on Scaling Impulse Response in SVEC Model Using "gpbuild"
by Olasehinde Timmy
Dear All,
I hope you are doing well.
I am working with the *SVEC model* and using the *"gpbuild"* syntax to
generate impulse response functions. However, I am having difficulty
adjusting the scale to make the impulse response plots more visible and
readable. I would appreciate any guidance on how to modify the settings or
apply any specific syntax that can enhance the visualization.
If anyone has experience with this or knows of a useful reference, I would
be grateful for your assistance.
Looking forward to your suggestions.
Best regards,
Timmy
8 months, 1 week
