Re: [Gretl-users] (no subject)
Am 14.03.2014 09:50, schrieb michel.pouchain(a)univ-paris13.fr:
Dear gretl users,
I have an example for a
little dynamic model like
:
y(t) =a0+a1*y(t-1)+a2*x(t)
When I use, via the scroll menu, "prévisions" I have
the choice beetween static oy dynamic forecats.
When I use "dyn", the forecast for T+1 is not equal to the
forecats(static) for T+1. Why ?
Do you mean the point forecasts or the standard errors / intervals? If
you really mean the point forecasts, my guess would be that there is
some small difference in the specification (sample) that you haven't
noticed, otherwise it would indeed be strange.
Showing the output would be helpful.
And I like to know which
formulas used for the standards error?
I have use with (R) program the formulas given by Pagan Nicholls
(1984). Like microfit5
The 'fcast' help says: "For static linear models standard errors are
computed using the method outlined by Davidson and MacKinnon (2004);
they incorporate both uncertainty due to the error process and parameter
uncertainty (summarized in the covariance matrix of the parameter
estimates). For dynamic models, forecast standard errors are computed
only in the case of a dynamic forecast, and they do not incorporate
parameter uncertainty. For nonlinear models, forecast standard errors
are not presently available."
Other than that, I think currently you would have to look at the source
code for more details.
hth,
sven