Re: [Gretl-users] Fixed effects forecast

On Sat, 20 Mar 2010, Sven Schreiber wrote: > Ricardo Gonçalves Silva schrieb: > > Hi, > > > > Can Gretl forecast 1 to 3 periods ahead an estimated panel > > data(fixed-effects with no iterations) model? > > sorry this is not an answer to your question: I wanted to try it out > myself and got a crash with this little script (on today's cvs version): > > <script> > open abdata > smpl +0 -3 > panel n 0 w --fixed-effects > fcast > </script> Forecasting via the "fcast" command in association with panel models (other than pooled OLS) is not implemented at this point, sorry. The crash from the script above is now fixed in CVS and the snapshots, simply by flagging a "not implemented" error. Note that the effect of doing smpl ; -3 with panel data is to discard the last 3 panel units, not the last 3 time-series observations for each unit (which could not be done simply by moving the sample end-points). It is, however, possible to generate a forecast manually based on fixed-effects estimates. The following script illustrates. <script> open greene14_1.gdt # number of cross-sectional units nunits = max($unit) # number of time periods T = $nobs/nunits logs C Q PF list X = l_Q l_PF LF # estimate on data up to 1979 smpl year < 1980 --restrict panel l_C 0 X # retrieve fitted values series yh = $yhat # plus the per-unit intercepts series ah = $ahat # and the coefficients on X matrix b = $coeff[2:] # restore full time-series length smpl --full # expand the per-unit intercepts loop i=1..nunits loop t=11..T k = T*(i-1)+t ah[k] = ah[k-1] endloop endloop series Xb = {X}*b + ah print -o yh Xb </script> This script shows that the constructed forecast series "Xb" agrees with the fitted values obtained via $yhat within sample. Allin Cottrell _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users

Nenhum vírus encontrado nessa mensagem recebida. Verificado por AVG - www.avgbrasil.com.br Versão: 9.0.791 / Banco de dados de vírus: 271.1.1/2762 - Data de Lançamento: 03/21/10 16:33:00