[Gretl-users] Re: fcast behavior
Hi Andreas
Am 14.11.19 um 18:45 schrieb anzervas:
Hi all,
I am attaching a small script showing unexpected (at least to me)
behavior of the forecast command. The script works in Gretl 2019a (in
Ubuntu 19:04) but not in 2019c (in Win 10).
Try this:
<hansl>
set verbose off
nulldata 200
setobs 1 1 --special-time-series
x=normal()
smpl 1 199
u = 0.5*normal()
smpl ; -10 # preserve last 10 days
series y
y[1] = 0
y = 0.3 + 0.8*x + 0.5*y(-1) + u
# Train on sample T=1..190
ols y 0 x y(-1)
fcast 190 200 yf1 # forecast T=190..200
fcast yf2 --out-of-sample
fcast yf3 --static --out-of-sample # only single period T=190
smpl full
print yf1 yf2 yf3 --byobs
</hansl>
Artur