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

Hi Brian, as the help states, this is currently only supported for OLS. I think the reason is simply, that this has not been implemented, yet. But you may want to have a look at my "fcnaive" package which also supports for some specific ("naive") ARIMA-variants recursive forecasting. <> pkg install naiveFC help naiveFC </> Artur Am 23.11.24 um 18:02 schrieb Brian Revell: > Is there any reason why recursive forecasts cannot be included in the > ARIMA option for univariate modelling together with their confidence > intervals when the model is truly univariate with no exogenous varisbles > included in the specification  Clearly post sample data the MA terms > would drop out of the forecasts that would effectively only require the > AR parameters and any differencing. > > Brian