Re: [Gretl-users] incorrect dynamic ARMA prediction
On Wed, 20 Jun 2012, Skipper Seabold wrote:
On Wed, Jun 20, 2012 at 1:16 PM, Skipper Seabold
<jsseabold(a)gmail.com> wrote:
> On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote:
>>
>> On Wed, 20 Jun 2012, Skipper Seabold wrote:
>>
>>> I was playing around and I think I noticed a bug in ARMA prediction, or
>>> I
>>> am missing something. You can find the data to replicate here
>>>
>>> http://www.pastie.org/4120330 [...]
>>
>> (Annual sun activity data, 1700 to 2008, attached in gretl
>> format for reference)
>>
>> Thanks, you're right. There was an off-by-one error in the
>> code that decides when a dynamic ARMA forecast can start using
>> previously computed forecast values in place of the observed
>> data. In your case, with an AR order of 9, gretl didn't start
>> using computed values until the forecast for 1711, whereas it
>> should start with the forecast for 1710.
>>
>> With this point corrected (in CVS), gretl agrees with Stata.
Out of curiosity does this only affect AR models estimated with ARMA
or should I go back and check my ARMA(p,q) dynamic forecasts that
start in-sample as well?
I believe the problem would affect all ARMA models with a
non-null AR component, where the --dynamic flag was passed to
request a dynamic forecast from the earliest possible date:
such forecasts would go dynamic one period late.
Allin Cottrell