[Gretl-users] Re: fitted actual values over time problem in CVS
On Tue, 30 Dec 2008, Allin Cottrell wrote:
On Tue, 30 Dec 2008, John Paravantis wrote:
> As far as I am concerned, I would very much like it if you added
> bootstrapping capabilities to gretl so that asymptotic confidence
> intervals could be plotted.
John, what exactly do you mean by "asymptotic confidence
intervals" in the context of NLS? Can you give a reference?
Bootstrapping would presumably not produce such intervals; they
would be empirical rather than based on asymptotic theory.
I should perhaps add: I was talking about the possibility of
bootstrapping specifically in the context of _dynamic_ NLS models,
where the standard error of the regression is clearly an
underestimate of the uncertainty of a dynamic forecast, even in
the limit where (let's suppose) parameter uncertainty goes to nil.
Are you talking about dynamic or static models?
Allin.