Re: [Gretl-users] Easy Question -- Doing a Naive Forecast

On Fri, 23 Oct 2015, Data Analytics Corp. wrote: > A naive forecast model can be represented as an ARIMA(0,1, 0) without > a constant term. When I try this in Gretl, I get an error message: > Command has insufficient arguments. How can I do a naive forecast > with the ARIMA? I need to show my students how this is done. ARIMA(0, 1, 0) without a constant (or any other regressors) is simply the model Delta y = 0 + error. There's nothing to estimate other than the variance of the error. You could show the characteristics of the forecast error in one of these ways: series yfcast = y(-1) smpl +1 ; matrix stats = fcstats(y, yfcast) print stats or series dy = diff(y) series dyfcast = 0 smpl +1 ; matrix stats = fcstats(dy, dyfcast) print stats Allin Cottrell