Re: [Gretl-users] Rolling forecasting

Od: gretl-users-request(a)lists.wfu.edu Komu: <gretl-users(a)lists.wfu.edu&gt; Datum: 19.03.2012 17:04 Předmět: Gretl-users Digest, Vol 62, Issue 15 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: Rolling forecasting (Allin Cottrell) 2. Re: Rolling forecasting (Allin Cottrell) 3. picking columns from CSV (Abhijit Gadgil) ---------------------------------------------------------------------- Message: 1 Date: Sun, 18 Mar 2012 20:07:44 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] Rolling forecasting To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LFD.2.01.1203181932320.18009@myrtle> Content-Type: text/plain; charset="iso-8859-2" On Sat, 17 Mar 2012, Dan B?so? wrote: > I am finishing my thesis on volatility prediction and I would like > to compare 1-step-ahead forecasts of various models. I tried to > use the following code > > open D:\Thesis\VECM\all_data.gdt > > smpl full > > scalar DataLen = $nobs > scalar WindowLen = 400 > scalar FirstObs = 1 > scalar LastObs = WindowLen > > matrix Forecasts = zeros( DataLen, 1) > matrix StdErrors = zeros( DataLen, 1) > > matrix FCDest = zeros(DataLen, 1 ) > matrix ErrDest = zeros(DataLen, 1 ) > scalar FDestVal= 0 > scalar EddDestVal= 0 > > loop ForecastPeriod = LastObs + 1..DataLen - 1 > smpl FirstObs LastObs > ols allRR allRR(-1) allRR(-2) allRR(-3) --robust --quiet > fcast FDestVal > FCDest[$ForecastPeriod,1] = FDestVal > > FirstObs = FirstObs + 1; > LastObs = LastObs + 1; > endloop > > but when trying to save FDestVal after fcasting I receive an error > message. You need to pay attention to the error message, namely "Matrices not conformable for operation" In your assignment FCDest[$ForecastPeriod,1] = FDestVal you are attempting to assign a series (FDestVal, which gretl is willing to convert to a vector on demand) to a single element of a vector (FCDest[$ForecastPeriod,1]) and there's no way that can work. More generally, you need to figure out your logic: How, exactly, do you want to make use of the results of the successive forecasts generated by the "rolling" estimation-and-forecast loop? Each such forecast comprises a series of values, not just a scalar. So what do you want to do with these values? Perhaps you need a matrix with a number of columns equal to the number of iterations in your loop? On a relatively small point, you need to lose the trailing ";" on some of the script lines -- that's not admissible gretl syntax. Here's a sample script that does what one might want to do, on one interpretation of your objective. That is, it fills out a matrix of forecasts using one column per estimated model ("hansl" is gretl's scripting language.) <hansl> open denmark.gdt series allRR = LRM scalar DataLen = $nobs scalar WindowLen = 50 scalar FirstObs = 1 scalar LastObs = WindowLen matrix FCMat = zeros(DataLen, DataLen - LastObs) scalar j = 1 loop t = LastObs + 1..DataLen - 1 smpl FirstObs LastObs ols allRR allRR(-1) allRR(-2) allRR(-3) --robust --quiet smpl --full fcast FSeries FCMat[,j] = FSeries FirstObs = FirstObs + 1 LastObs = LastObs + 1 j++ endloop # drop missing values and print FCMat = FCMat[4:,] print FCMat </hansl> Allin Cottrell ------------------------------ Message: 2 Date: Sun, 18 Mar 2012 20:53:15 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; Subject: Re: [Gretl-users] Rolling forecasting To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <alpine.LFD.2.01.1203182047270.22065@myrtle> Content-Type: text/plain; charset="iso-8859-2" On Sun, 18 Mar 2012, Allin Cottrell wrote: > On Sat, 17 Mar 2012, Dan B?so? wrote: > >> I am finishing my thesis on volatility prediction and I would like to >> compare 1-step-ahead forecasts of various models [...] Here are a couple of other variants of "what you might want" from the forecasting exercise and how to achieve the given effects. Variable names mostly using the style of Daniel's original script. <hansl> open denmark.gdt series allRR = LRM # "rolling" 1-step ahead forecast with the sample range # _augmented_ by one observation at each iteration ols allRR allRR(-1) allRR(-2) allRR(-3) --robust --quiet fcast 1986:3 1987:3 1 rollfcast --rolling print rollfcast --byobs # "rolling" 1-step ahead forecast with the sample range # pushed forward by one observation at each iteration # (i.e. the last observation is dropped when a new one # is added) scalar DataLen = $nobs scalar FirstObs = 1 scalar LastObs = 50 matrix fcvals = zeros(5,1) j = 1 loop t = LastObs + 1..DataLen - 1 --quiet smpl FirstObs LastObs ols allRR allRR(-1) allRR(-2) allRR(-3) --robust --quiet fc1 = LastObs + 1 fcast fc1 fc1 --quiet fcvals[j] = $fcast FirstObs++ LastObs++ j++ endloop printf "\n%12.5f\n", fcvals </hansl> Allin Cottrell ------------------------------ Message: 3 Date: Mon, 19 Mar 2012 12:48:41 +0530 From: Abhijit Gadgil <gabhijit(a)gmail.com&gt; Subject: [Gretl-users] picking columns from CSV To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Message-ID: <CAOFWafjyazuZd3Ury-PYKfg9etXon7HWRi4At0Qx7dQHtdyMyw(a)mail.gmail.com&gt; Content-Type: text/plain; charset=UTF-8 Dear All, I am trying to use the new gretl API from within a C program. What I want to do is from a CSV file, pick one or two columns (the file has 50odd columns). I know the column number. Is there a convenient way of doing it rather than providing a list to the dataset_drop_variables() which includes everything but the column that I want to pick. Thanks -abhijit ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 62, Issue 15 *******************************************