Hi Sven

thanks for your reply. I much appreciate the response rate and assistance of the staff's prompt support to me as a Gretl user.

I have downloaded the script to look at what underlies the GUI driver. As a an applied economist and not a software developer (although I was brought up on econometrics with both Johnstone and Jenkins back in the '70s and early 80's -yeah that dates me), I have always gone for GUI driven software when available. Although it may restrict some analytical options there is usually enough to do modelling the data, model selection and teasing out the interpretation of the analysis for policy-makers, or even just intelligent but non-technical readers.

I will look at the graphics script and see what I can make of it adding it into the appropriate Structural model script. I had saved the model as a bundle, but when I looked at it couldn't see anything there. I did manage to use a script file from the manual to estimate a time varying trend, and time varying parameter, though that required minimum editing to the file. Again, getting a forecast then became a call for assistance. It would be a useful and logical addition to the StrucTiSM suite of model options, in the same way that the Analysis section of modelling output will produce static or dynamic forecasts from the ARMA modelling option in the Gretl GUI. Another thought is that it would also be useful in Gretl to be able to save or print out the TS model in equation form (as is possible for example in OLS model estimation) -although perhaps that is not so straightforward to do in multiplying the lag operators.

I'll try your suggestions in the morning -I am sure they should work -it is more a question of whether I can!

Thanks again for yoour help

Brian

er <svetosch@gmx.net> wrote:

Am 12.12.2020 um 17:22 schrieb Artur Tarassow:
> Am 12.12.20 um 17:09 schrieb Brian Revell:
>> Thanks this has been helpful thus far. Next question, having run just
>> the basic Structural TS model, how do generate the forecasts as the
>> the GUI only produces the graph of the fitted model vs actual. There
>> is no link to Analysis. So do I need to save the model as a bundle and
>> feed into another separate downloadable function to produce the
>> forecast variable plus CI? Is there yet another function I need to
>> pass the parameters to to see the smoothed series
>
> Brian did you see the sample script for StrucTiSM? It includes an
> example on how to compute the forecasts.
>
> Click File -> Function packages -> On local machine and the then right
> click on StrucTiSM -> Sample script.

That's a useful pointer, but it is also true that we should probably try
to enable forecasting via the package's output window. (I'm a co-author
of the package.)

(Internal question: the packaging guide says in section 4.3 that a
"bundle-fcast" designation is part of the spec, but that it's "unused at
present". Does that mean it doesn't work yet?)

In the meantime what you can do is indeed to save the bundle from the
package's output window, say under the name "bstrucTS" or whatever. Then
in a script window or gretl console you'd need to do (without the hansl
tags):

<hansl>
include StrucTiSM.gfn
STSM_fcast( &bstrucTS, 12)
series depvarfcast = bstrucTS.fcast
series depvarfcvar = bstrucTS.fcastvar
</hansl>
Here the number 12 is the arbitrary forecast horizon. You need to make
sure you have those observations in the dataset beyond the estimation
sample, possibly by adding observations before you do the forecast.

BTW, good to have someone testing the package who is able to report any
problems on the list!

thanks
sven
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