Hi Sven, having estimated a local linear trend model via the GUI, it enables me to save the bundle -but actually all that happensis it lists the content, but does not enable me to give it a name. If I go to file and use the command save bundle, all it saves is the estimation output. Also it is not possible to retreive the fitted values -only a graph.

So I have been unable to see any way to save and link the Structural time series model outputs to the script you kindly sent (minus the hansi markers). It would be good to be able to not only produe the forecasts but the 95% CI around them, and graph in the same way as one can from the example in the Gretl manual for the time variable parameter.

cheers

Brian

On Sat, 12 Dec 2020 at 16:37, Sven Schreiber <svetosch@gmx.net> wrote:

Am 12.12.2020 um 17:22 schrieb Artur Tarassow:
> Am 12.12.20 um 17:09 schrieb Brian Revell:
>> Thanks this has been helpful thus far. Next question, having run just
>> the basic Structural TS model, how do generate the forecasts as the
>> the GUI only produces the graph of the fitted model vs actual. There
>> is no link to Analysis. So do I need to save the model as a bundle and
>> feed into another separate downloadable function to produce the
>> forecast variable plus CI? Is there yet another function I need to
>> pass the parameters to to see the smoothed series
>
> Brian did you see the sample script for StrucTiSM? It includes an
> example on how to compute the forecasts.
>
> Click File -> Function packages -> On local machine and the then right
> click on StrucTiSM -> Sample script.

That's a useful pointer, but it is also true that we should probably try
to enable forecasting via the package's output window. (I'm a co-author
of the package.)

(Internal question: the packaging guide says in section 4.3 that a
"bundle-fcast" designation is part of the spec, but that it's "unused at
present". Does that mean it doesn't work yet?)

In the meantime what you can do is indeed to save the bundle from the
package's output window, say under the name "bstrucTS" or whatever. Then
in a script window or gretl console you'd need to do (without the hansl
tags):

<hansl>
include StrucTiSM.gfn
STSM_fcast( &bstrucTS, 12)
series depvarfcast = bstrucTS.fcast
series depvarfcvar = bstrucTS.fcastvar
</hansl>
Here the number 12 is the arbitrary forecast horizon. You need to make
sure you have those observations in the dataset beyond the estimation
sample, possibly by adding observations before you do the forecast.

BTW, good to have someone testing the package who is able to report any
problems on the list!

thanks
sven
_______________________________________________
Gretl-users mailing list -- gretl-users@gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave@gretlml.univpm.it
Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/