Re: [Gretl-users] incorrect dynamic ARMA prediction
On Wed, Jun 20, 2012 at 1:16 PM, Skipper Seabold <jsseabold(a)gmail.com> wrote:
On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell
<cottrell(a)wfu.edu> wrote:
>
> On Wed, 20 Jun 2012, Skipper Seabold wrote:
>
> > I was playing around and I think I noticed a bug in ARMA prediction, or
> > I
> > am missing something. You can find the data to replicate here
> >
> > http://www.pastie.org/4120330 [...]
>
> (Annual sun activity data, 1700 to 2008, attached in gretl
> format for reference)
>
> Thanks, you're right. There was an off-by-one error in the
> code that decides when a dynamic ARMA forecast can start using
> previously computed forecast values in place of the observed
> data. In your case, with an AR order of 9, gretl didn't start
> using computed values until the forecast for 1711, whereas it
> should start with the forecast for 1710.
>
> With this point corrected (in CVS), gretl agrees with Stata.
Out of curiosity does this only affect AR models estimated with ARMA
or should I go back and check my ARMA(p,q) dynamic forecasts that
start in-sample as well?
Skipper