Re: [Gretl-users] Easy Question -- Doing a Naive Forecast
On Fri, 23 Oct 2015, Data Analytics Corp. wrote:
A naive forecast model can be represented as an ARIMA(0,1, 0) without
a
constant term. When I try this in Gretl, I get an error message: Command has
insufficient arguments. How can I do a naive forecast with the ARIMA? I
need to show my students how this is done.
ARIMA(0, 1, 0) without a constant (or any other regressors) is
simply the model Delta y = 0 + error. There's nothing to estimate
other than the variance of the error. You could show the
characteristics of the forecast error in one of these ways:
series yfcast = y(-1)
smpl +1 ;
matrix stats = fcstats(y, yfcast)
print stats
or
series dy = diff(y)
series dyfcast = 0
smpl +1 ;
matrix stats = fcstats(dy, dyfcast)
print stats
Allin Cottrell