Dear Allin
Thank you for your answer.
Could you please remove the restriction for the exponential moving average filter to allow up to T/2 observations for the mean calculation?
It would be helpful if all the fillters you find under "variable" like the exponential moving average have their own short explanation in the Gretl's guide.
I am using the Roberts formula but I get a different result from Gretl
with alpha = 0.1
Value one-step forecast
Y(T) Y^ (T-1)
T = 0 351.2917
T = 1 362 352.363 = 0.1(362) + 0.9(351.2917) --> Gretl: 354.2625
T = 2 381
Would it be possible to include a solver function like in Excel in order to do minimizing calculations to find the optimal alpha?
Thank you in advance
Raul Gimeno
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Von: gretl-users-bounces@lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von gretl-users-request@lists.wfu.edu
Gesendet: Mittwoch, 23. September 2015 18:00
An: gretl-users@lists.wfu.edu
Betreff: Gretl-users Digest, Vol 104, Issue 32
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Today's Topics:
1. Re: Help please cannot get latex to work (Allin Cottrell)
2. Re: exponential moving average (Allin Cottrell)
----------------------------------------------------------------------
Message: 1
Date: Wed, 23 Sep 2015 08:58:25 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] Help please cannot get latex to work
Message-ID:
<alpine.LNX.2.20.3.1509230853170.30212@localhost.localdomain>
Content-Type: text/plain; charset=US-ASCII; format=flowed
On Tue, 22 Sep 2015, Cameron Heimerdinger wrote:
> I have been trying to get the drop down to work for almost an hour now
> and no luck I am attaching a picture what I am looking at. Any help to
> get this to work is much appreciated!
I've looked into this, and I'm afraid LaTeXit.app is not going to work for this purpose. The author of the program says, "LaTeXiT is 'simply'
a graphical interface above a LaTeX engine" (See http://www.chachatelier.fr/latexit/ ). What gretl needs is the path to the "LaTeX engine" itself, which should probably be a binary named "pdflatex". Where exactly that is on your system, I don't know, but you should be able to find out by doing
locate pdflatex
in a Terminal window.
Allin Cottrell
------------------------------
Message: 2
Date: Wed, 23 Sep 2015 11:19:12 -0400 (EDT)
From: Allin Cottrell <cottrell@wfu.edu>
To: Gretl list <gretl-users@lists.wfu.edu>
Subject: Re: [Gretl-users] exponential moving average
Message-ID:
<alpine.LNX.2.20.3.1509231040540.32043@localhost.localdomain>
Content-Type: text/plain; charset=US-ASCII; format=flowed
On Wed, 23 Sep 2015, Raul Gimeno wrote:
> By using the filter exponential moving average, you can choose the
> first EMA value based on the mean of the first n observations. The
> number is limited to 6. Why this limitation ? Sometimes I see people
> taking the first value being the mean of half of the time series.
The general limitation is not 6 but T/4. I suppose we could increase it to T/2 if that's commonly used.
> Where do I see any information about the way it is calculated in the
> Gretl documentation ?
In the Help for the movavg() function. Also see https://en.wikipedia.org/wiki/Moving_average ; we compute the Roberts version.
> I have a time series with mean = 351.2917 and the first observation is
> y1 = 362
>
> Gretl gives me correctly the first forecast being S0 = 351.2917 for
> y1 which equals the mean of the whole time series.
>
> The second forecast is given by Gretl as being 354.2625 with alpha =
> 0.1.
>
> According to me you should get: S1 = 0.1(351.2917) + 0.9(362) =
> 352.3625
S_t = a*y_t + (1-a)*S_{t-1}
Using Roberts the second value of S should be 0.1 times the second y observation + 0.9 times the initial value of S.
> How to find the optimal alpha minimizing the MSE ?
You could use a line search in a loop, or one of gretl's numerical tools such as BFGSmax.
Allin Cottrell
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