Re: [Gretl-users] Using 'fcast' for panel data

On Sat, 16 Feb 2019, Artur T. wrote: > I am trying to do some forecasting exercise using a panel data set. I > am a bit puzzled as the fcast command does not behave as I would have > thought. However, I am not sure I am using fcast correctly in this > example -- the manual doesn't include anything on the fcast command in > connection with panel data currently. Please, see the sample script > below. True, the "fcast" facilities we have for time-series data are not available for panel data. That's no doubt something we should work on. In the meantime one can do an out-of-sample forecast manually. I show an example below, for pooled OLS, fixed effects and random effects. (But note that the latter is not consistent in this case.)