[Gretl-users] Re: Recursive forecasts for Arima models

Am 23.11.2024 um 18:02 schrieb Brian Revell: I'm wondering whether what you're trying to achieve is the same thing as what's called "recursive" in gretl. Maybe it is, but the terminology can be complex and not always universal. So: If you have a base sample from t=T1 to t=T2, and you estimate your Arima model on that sample, and then you want to create forecasts for the out-of-sample range T2+1 through T2+h, for a certain positive integer h, you can do that, but we wouldn't call it recursive. Example: <hansl> open AWM18.gdt h = 3 smpl +0 -h    # leave some obs for the forecasting range, T2 is now 2017:1 arima 1 1 1; log(YED) fcast --dynamic --out-of-sample # prints out h=3 forecast values up to 2017:4 </hansl> This is a forward-iterated forecast. Again, maybe this is _not_ what you're actually trying to do, I just want to make sure there are no misunderstandings, because sometimes people call this thing recursive. In contrast, what gretl calls "recursive" --and I hope I'm getting this right-- entails updating/re-estimating the model coefficients for every new value, starting from very early in the original base sample. So T2 is not fixed anymore (and this could become computationally expensive for non-OLS estimators). Example: <hansl> open AWM18.gdt h = 3 smpl --full ols ldiff(YED) const ldiff(YED(-1)) fcast h --recursive # prints out many forecast values, each h-step </hansl> I'm noticing that the printout here has no values for the final two observations - to be honest, I don't know why that is so, all the necessary ingredients should be there. Can anybody explain this, please? thanks sven