3:52 a.m.
Good afternoon,
Sorry for any inconvenience. I'm trying to forecast the ARMA (1,1) process
out of sample (X t+1), but it shows a message that this cannot be done
(only in sample fcast). I tried everything, including some commands -
fcast, --out-of-sample, dataset addobs 1, --dynamic. I also tried to ad
new observations via the graphical interface, to generate forecast, but,
without success either.
There is something that I'm not doing right. Can anyone please give a
thought, what goes wrong? Maybe my commands are inadequate.
Tanks in advance, for any valuable help.
My best,
Fabio
ps. I know I can use the coeficients in spreadsheet to generate the fcast,
but Im trying to figure out whats is happening.
4:41 a.m.
Dear Fábio,
Does your model have any dummy or exogenous variable?
Best,
Henrique
Sent from Nylas N1, the open source mail client.
On Mai 2 2016, at 1:53 pm, Fábio Aloísio <fabioaloisio(a)gmail.com> wrote:
Good afternoon,
Sorry for any inconvenience. I'm trying to forecast the ARMA (1,1) process out
of sample (X t+1), but it shows a message that this cannot be done (only in
sample fcast). I tried everything, including some commands - fcast, \--out-
of-sample, dataset addobs 1, --dynamic. I also tried to ad new observations
via the graphical interface, to generate forecast, but, without success
either.
There is something that I'm not doing right. Can anyone please
give a
thought, what goes wrong? Maybe my commands are inadequate.
Tanks in advance, for any valuable help.
My best,
Fabio
ps. I know I can use the coeficients in spreadsheet to generate the
fcast,
but Im trying to figure out whats is happening.
7:38 p.m.
El 02/05/16 a las 18:52, Fábio Aloísio escribió:
Good afternoon,
Sorry for any inconvenience. I'm trying to forecast the ARMA (1,1)
process out of sample (X t+1), but it shows a message that this cannot
be done (only in sample fcast). I tried everything, including some
commands - fcast, --out-of-sample, dataset addobs 1, --dynamic. I
also tried to ad new observations via the graphical interface, to
generate forecast, but, without success either.
There is something that I'm not doing right. Can anyone please give a
thought, what goes wrong? Maybe my commands are inadequate.
Dear Fábio:
please, try this script. Does it work for you?
#Data from 1959 to 1994
open data3-6.gdt
arima 0 1 1 ; Ct
dataset addobs 1
fcast 1995 1995
--
Ignacio Díaz-Emparanza
Departamento de Economía Aplicada III (Econometría y Estadística)
Universidad del País Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
8:12 p.m.
El 03/05/16 a las 10:38, Ignacio Diaz-Emparanza escribió:
El 02/05/16 a las 18:52, Fábio Aloísio escribió:
> Good afternoon,
>
> Sorry for any inconvenience. I'm trying to forecast the ARMA (1,1)
> process out of sample (X t+1), but it shows a message that this
> cannot be done (only in sample fcast). I tried everything, including
> some commands - fcast, --out-of-sample, dataset addobs 1, --dynamic.
> I also tried to ad new observations via the graphical interface, to
> generate forecast, but, without success either.
>
> There is something that I'm not doing right. Can anyone please give a
> thought, what goes wrong? Maybe my commands are inadequate.
Dear Fábio:
please, try this script. Does it work for you?
#Data from 1959 to 1994
open data3-6.gdt
arima 0 1 1 ; Ct
dataset addobs 1
fcast 1995 1995
You may try exactly an ARMA(1,1) by changing the third line to
arima 1 0 1 ; Ct
or
arma 1 1 ; Ct
the three versions work ok here in my PC.
--
Ignacio Díaz-Emparanza
Departamento de Economía Aplicada III (Econometría y Estadística)
Universidad del País Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
3357
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3 comments
3 participants
participants (3)
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Fábio Aloísio -
Henrique -
Ignacio Diaz-Emparanza