[Gretl-users] Re: Recursive forecasts for Arima models

Am 24.11.24 um 11:59 schrieb Sven Schreiber: > Am 23.11.2024 um 18:02 schrieb Brian Revell: >> Is there any reason why recursive forecasts cannot be included in the >> ARIMA option for univariate modelling together with their confidence >> intervals when the model is truly univariate with no exogenous >> varisbles included in the specification Clearly post sample data the >> MA terms would drop out of the forecasts that would effectively only >> require the AR parameters and any differencing. >> > I'm wondering whether what you're trying to achieve is the same thing as > what's called "recursive" in gretl. Maybe it is, but the terminology can > be complex and not always universal. Indeed, good point, Sven. > So: If you have a base sample from t=T1 to t=T2, and you estimate your > Arima model on that sample, and then you want to create forecasts for > the out-of-sample range T2+1 through T2+h, for a certain positive > integer h, you can do that, but we wouldn't call it recursive. Example: > > <hansl> > open AWM18.gdt > > h = 3 > smpl +0 -h # leave some obs for the forecasting range, T2 is now 2017:1 > arima 1 1 1; log(YED) > > fcast --dynamic --out-of-sample # prints out h=3 forecast values up to > 2017:4 > > </hansl> > > This is a forward-iterated forecast. Again, maybe this is _not_ what > you're actually trying to do, I just want to make sure there are no > misunderstandings, because sometimes people call this thing recursive. We just discussed this internally, last week. The option --out-of-sample is expected to produce for all out-of-sample observations after T2 forecasts, irrespective of the provided horizon. Actually, it currently remains unclear, whether it should be allowed to provide an integer for steps-ahead (the max. horizon) jointly with the --out-of-sample option. > In contrast, what gretl calls "recursive" --and I hope I'm getting this > right-- entails updating/re-estimating the model coefficients for every > new value, starting from very early in the original base sample. So T2 > is not fixed anymore (and this could become computationally expensive > for non-OLS estimators). Example: > > <hansl> > open AWM18.gdt > > h = 3 > smpl --full > ols ldiff(YED) const ldiff(YED(-1)) > > fcast h --recursive # prints out many forecast values, each h-step > > </hansl> I think this part is buggy from the gretl side. Here is another example for which also the last two observations are missing. <hansl> open AWM18.gdt h = 3 smpl ; 2016:4 ols ldiff(YED) const ldiff(YED(-1)) --quiet # ERROR: No oos forecasts shown # No difference if omitting "--out-of-sample" fcast h --recursive --out-of-sample smpl 2017:1 $tmax series fc = $fcast # Only for the first 2 observations, forecasts are shown # However, one would expect only a single h=3 forecast value at # date 2017:3 print fc -o </hansl> Artur _______________________________________________ Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/