9:55 a.m.
This happens *sometimes *when using Gretl.
I use the *same data every time* in my class and *sometimes *when I go here
after I have restricted the sample to 1980:4 and try to forecast the next 4
years, it only lets me forecast 1 period ahead. I cannot set the End to
1984:4
[image: image.png]
Any ideas?
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
3:18 p.m.
Am 12.03.2021 um 10:55 schrieb Periklis Gogas:
This happens *sometimes *when using Gretl.
I use the *same data every time* in my class and *sometimes *when I go
here after I have restricted the sample to 1980:4 and try to forecast
the next 4 years, it only lets me forecast 1 period ahead. I cannot
set the End to 1984:4
Well, you didn't mention whether you also use the same model.
Obviously, if gretl's behavior is non-deterministic for exactly the same
circumstances, it would be a bug. Given how computers work, it's also
relatively improbable.
So my wild guess is that sometimes you have an exogenous variable which
makes a multistep dynamic forecast impossible.
cheers
sven
11:30 a.m.
Dear Sven,
It was my fault!
I created the logged first differences after restricting the full sample,
thus when I tried to forecast there was no ld_y out-of-sample available!
My bad.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Professor
Economic Analysis and International Economics
Department of Economics
Democritus University of Thrace
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
On Fri, Mar 12, 2021 at 5:17 PM Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 12.03.2021 um 10:55 schrieb Periklis Gogas:
This happens *sometimes *when using Gretl.
I use the *same data every time* in my class and *sometimes *when I go
here after I have restricted the sample to 1980:4 and try to forecast the
next 4 years, it only lets me forecast 1 period ahead. I cannot set the End
to 1984:4
Well, you didn't mention whether you also use the same model.
Obviously, if gretl's behavior is non-deterministic for exactly the same
circumstances, it would be a bug. Given how computers work, it's also
relatively improbable.
So my wild guess is that sometimes you have an exogenous variable which
makes a multistep dynamic forecast impossible.
cheers
sven
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1:35 p.m.
Am 13.03.2021 um 12:30 schrieb Periklis Gogas:
Dear Sven,
It was my fault!
I created the logged first differences after restricting the full
sample, thus when I tried to forecast there was no ld_y out-of-sample
available!
My bad.
Hm, actually I would have expected that lagged endogenous terms are not
a problem and gretl would know what to do automatically.
But indeed the following does not work (error about missing values):
<hansl>
open denmark
series y = log(LRM)
series dy = ldiff(LRM)
ols y const dy(-1)
dataset addobs 4
fcast y --out-of-sample
</hansl>
I guess this isn't a bug, strictly speaking, since section 35.3 in the
user guide says: " ... does not contain any stochastic regressors
other than lags of y", and in this case it's not just a lag, but also a
difference involved.
So in order to get a multistep forecast to work here one would have to
run a restricted ols estimation in (log) levels or perhaps formulate
this as a nls setup. (Haven't tested either.)
cheers
sven
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participants (2)
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Periklis Gogas -
Sven Schreiber