Re: [Gretl-users] Applying an ARIMA Model
Allin Cottrell schrieb:
On Tue, 1 Sep 2009, Oliver Heering wrote:
> I already figured out how to fit an ARIMA process to my data
> (ok, how to actually find GOOD AR/MA/difference orders would be
> another question). And i can save the resulting model as Icon to
> my session. Does that mean i can also apply my model to any
> other data (of the same type of course)? Let's say i fit my
> model against a timeseries range A. How can i find out how my
> model fits to another timeseries range B?
>
> Maybe this isn't possible at all and i am misunderstanding the
> whole concept of ARIMA models and -forecasting. I am primary
> working with the data mining tool "RapidMiner", which allows you
> to easily apply any learned model to new and unseen data
> (classification mainly, but regression as well) and i wonder if
> it is the same with an estimated ARIMA model.
In the gretl GUI, an existing model is in effect defined by an
estimation method (e.g. ARIMA). On opening a saved model you can
use the menu item "/Edit/Modify model..." in the model window to
create a new, related model. You can substitute a new dependent
variable, and/or edit the list of regressors, and/or tweak things
such as the lag order.
See Allin how cool this feature is? ;-)
In a gretl script, there's no limit to the extent to which you can
use an existing model as the basis for a new one. Just copy,
paste and edit.
Actually, I thought that what Oliver had in mind when he spoke of a
model was the estimated coefficients as well, not "just" the general
specification. Then it wouldn't be so easy I guess, because a saved
model in gretl terms is tied to the used data sample as well, right?
But maybe I didn't understand him correctly...
cheers,
sven