Re: [Gretl-users] Some questions on gretl2017c MS Windows (x86_64)
On Wed, 16 Aug 2017, Ioannis A. Venetis wrote:
ROLLING K-STEP AHEAD FORECASTS (notice that is returns output with
explanation Recursive #-step ahead forecasts)
I think it should be RECURSIVE K-STEP AHEAD FORECASTS (since rolling
gives the feeling of a constant pro-forecast sample length during the
forecast execise (moving window))
also can we change the --rolling switch to --recursive ?
I agree that "rolling" tends to imply a moving estimation window of
fixed length, and if "recursive" is the term used by forecasters for
what gretl does under the --rolling option, we should switch. This
is now in git (though "--rolling" is still accepted as an alias
until further notice).
However, I'd like to register a mild objection. To my mind a
recursive process is one that loops back on itself (e.g. a function
that calls itself). In that light a "recursive" forecast would be
one which progressively replaces known values of regressors with
forecasted values as the horizon is lengthened. If I had to choose a
single English word to describe what gretl does under the rolling or
recursive option I guess I'd choose "sequential".
Allin