Re: [Gretl-users] incorrect dynamic ARMA prediction

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.

<hansl> open sun-activity.gdt arima 9 0 0 ; sunactivity fcast 1709 1720 gretl_fc --dynamic smpl 1709 1719 print sunactivity gretl_fc --byobs smpl --full genr year = time + 1699 foreign language=stata --send-data tsset year arima sunactivity, arima(9,0,0) predict stata_fc, dyn(1709) list year sunactivity stata_fc in 10/20 end foreign </hansl>