Am 14.03.2014 09:50, schrieb michel.pouchain(a)univ-paris13.fr: > Dear gretl users, > I have an example for a > little dynamic model like > : > y(t) =a0+a1*y(t-1)+a2*x(t) > When I use, via the scroll menu, "prévisions" I have > the choice beetween static oy dynamic forecats. > When I use "dyn", the forecast for T+1 is not equal to the > forecats(static) for T+1. Why ? Do you mean the point forecasts or the standard errors / intervals? If you really mean the point forecasts, my guess would be that there is some small difference in the specification (sample) that you haven't noticed, otherwise it would indeed be strange. Showing the output would be helpful. > And I like to know which > formulas used for the standards error? > I have use with (R) program the formulas given by Pagan Nicholls > (1984). Like microfit5 > The 'fcast' help says: "For static linear models standard errors are computed using the method outlined by Davidson and MacKinnon (2004); they incorporate both uncertainty due to the error process and parameter uncertainty (summarized in the covariance matrix of the parameter estimates). For dynamic models, forecast standard errors are computed only in the case of a dynamic forecast, and they do not incorporate parameter uncertainty. For nonlinear models, forecast standard errors are not presently available."

Am 14.03.2014 12:49, schrieb Allin Cottrell: > On Fri, 14 Mar 2014, Sven Schreiber wrote: > >> Am 14.03.2014 09:50, schrieb michel.pouchain(a)univ-paris13.fr: >>> When I use "dyn", the forecast for T+1 is not equal to the >>> forecats(static) for T+1. Why ? >> Do you mean the point forecasts or the standard errors / intervals? If >> you really mean the point forecasts, my guess would be that there is >> some small difference in the specification (sample) that you haven't >> noticed, otherwise it would indeed be strange. >> > > As regards point values, the two forecasts for 1990:3 (the first > out-of-sample observation) are equal. But the forecasts for 1990:4 are > not equal, because the static one uses observed QNC on the right-hand > side while the dynamic one uses forecast QNC. > Right, but in my reply I stayed with the T+1 case as raised originally. Thus, if there really are different point forecasts, I would like to see them and the underlying specifications. -sven _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users