Re: [Gretl-users] VECM of High and Lows

Hello Allin,    how could this happen? If I have a significantly better forecast of the High and of Low, how can there be no gains in forecasting their difference? Im not expecting a three-fold increase in RSQ of (High - Low) modeling, however DMW test shows that forecasts from the base model and the rich model are indistinguishable from each other in terms of quality and this is rather unexpected for me.    Is there a way for me to reconstruct the (in sample) predicted series from a VECM model? There is a "Save residuals for Eq1 and Eq2" in Model results window, do these residuals apply to High/Low prices or d_High/d_Low when I have a VECM 7 1 High Low?   Thank you! Daniel