Re: [Gretl-users] forecast error calculation with "--rolling" and 1-step forecasts
On Sun, 15 Nov 2015, Sven Schreiber wrote:
Am 15.11.2015 um 10:41 schrieb Sven Schreiber:
> So does that mean that taking parameter uncertainty into account for a
> sequence of forecasts has to be done manually with an explicit loop?
>
Furthermore I found that after "--rolling" I get a not-available error
if I try to access "$fcerr". (I did omit the varname in the command,
because according to the doc these accessors can only be used if varname
is not given.)
So it looks as if --rolling really only has a narrow use case and other
stuff has to be done manually. Or is it a bug?
It has a narrow use case, as things stand. This option is just not
very well developed. It's probably fair game for a decent function
package. If anyone develops such a thing and it's popular, then we
could think about porting it to C.
Allin Cottrell