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

On Sun, 24 Nov 2024, Sven Schreiber wrote: > I'm noticing that the printout here has no values for the final two > observations - to be honest, I don't know why that is so, all the > necessary ingredients should be there. Can anybody explain this, please? The trouble here is that while this is a dynamic model, that's not clear to gretl. Your on-the-fly specification of the lagged dependent variable as the log-difference of something "hides" from gretl the fact that it's the first lag of the dependent variable. If you did this instead <hansl> open AWM18.gdt h = 3 y = ldiff(YED) ols y const y(-1) fcast h --recursive </hansl> you'd get a dynamic forecast that runs to the end of the dataset.