[Gretl-users] Re: Recursive forecasts for Arima models
Am 24.11.24 um 12:58 schrieb Brian Revell:
My concept here of recursive in an Arima model (2 0 1) for
simplicity, with signifnt coeffcts on all parameters would be
Xft+1=b1Xt+b2Xt-1+gErr t
Xft+2=b1Xft+1 +b2Xt
Xft+3 =b1Xft+2 +b2Xft+1 etc
ie the forecasts are endogenous.
Of course with a difference operator in the Arima spec, the forecast
equation becomes more complex when multiplied out.
This is recursion (also known as the chain-rule-of-forecasting) is done
automatically by gretl if you provide the --dynamic option for the fcast
command.
Artur