Re: [Gretl-users] Standard Errors of OOS ARIMA Forecast?
On Fri, 26 Aug 2011, Allin Cottrell wrote:
I'll do some more checking tomorrow to confirm that the fix is
right, but thanks for spotting this!
Confirmed, the fix looks ok to me.
I'm attaching a zip file containing Skipper's dataset and a small script
performing the relevant computations.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti
Attachments:
- skipper_arima_test.zip (application/zip — 11.5 KB)