Re: [Gretl-users] problem with fcast --dynamic
Am 23.01.2017 um 09:09 schrieb Artur Tarassow:
Dear all,
I've got a problem with fcast() using it within a bundle context. In the
example script below, I want to set up a rolling (both sample start and
sample end are moving forward at each iteration) forecast exercise.
However, I obtain an issue with the "--dynamic" option.
It is about the line "fcast ($t2+1) ($t2+b.k) --dynamic". You could even
try "fcast --dynamic". Surprisingly, the rolling option works: "fcast
($t2+1) ($t2+b.k) b.k --rolling".
I also set up an alternative function which doesn't make use of a
bundle, and there it works fine (see the attached file please).
Any ideas what's wrong here?
Artur, I find these functions hard to verify in terms of the samples
they're using. A function typically wouldn't have access to
out-of-sample observations (with respect to the active sample at the
time the function is called). It looks as if that could be an issue,
depending on the values of $t2/$t1/R. Maybe you could add some explicit
error checks about that.
However, I agree that it's surprising that --rolling would work if
--dynamic doesn't. So no, don't have very concrete ideas.
good luck,
sven