Re: [Gretl-users] Applying an ARIMA Model
On Tue, 1 Sep 2009, Sven Schreiber wrote:
Oliver Heering schrieb:
> The thing in gretl is, if i want to see how my estimated (on series A)
> model performs on series B, i don't know how to actually do this
> without fitting the model again, since i believe what Sven wrote: "a
> saved model in gretl terms is tied to the used data sample as well".
>
> Please correct me, if i'm wrong. :-)
Well in a script you can of course retrieve and store the coefficient
vector of your model ($coeff) for further use. That wouldn't be so
difficult, but it's not a one-liner.
In script mode you can do this sort of thing:
open data9-7
series y = QNC
arma 1 1 ; y
fcast yd1 --dynamic
y = INCOME
fcast yd2 --dynamic
After replacement of the series "y", the series yd2 will contain
dynamic forecasts for INCOME using the model estimated for QNC.
This won't work for static forecasts because in that case gretl
just outputs the fitted values that are saved with the original
model. But dynamic forecasts are generated de novo so you can
"trick" gretl into using a different series.
Allin Cottrell