Univariate Time Series Structural Time Series Options
- First Post
- Replies
- Stats
-
Go to
- ----- 2024 -----
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2023 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2022 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2021 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2020 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2019 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2018 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2017 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2016 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2015 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2014 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2013 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2012 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2011 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2010 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2009 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2008 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2007 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2006 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2005 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
- ----- 2004 -----
- December
- November
- October
- September
- August
- July
- June
- May
- April
- March
- February
- January
The three model selection options, Local Level, Local linear Trend and
Basic structural Model all appear to give the same parameter estimates if
the same combination of options regarding irregular, trend and slope are
selected . Is this to be expected? If so, why the need to differentiate
the three model types?
Brian
Brian J Revell
Professor Emeritus
Agricultural and Food Economics
Harper Adams University
Newport
Shropshire TF10 8NB
Tel 01952 815237
Tel: +44 1952 728153
Mbl +44 7976 538712
University: +44 1952 815235
alt: email: bjrevell(a)harper-adams.ac.uk
Attachments:
- attachment.htm (text/html — 1.6 KB)
Am 22.01.21 um 16:47 schrieb Brian Revell:
The three model selection options, Local Level, Local linear Trend
and
Basic structural Model all appear to give the same parameter estimates
if the same combination of options regarding irregular, trend and
slope are selected . Is this to be expected? If so, why the need to
differentiate the three model types?
Brian
Hi Brian,
It would be helpful if you could provide a script for replication. Also,
which version of StrucTiSM are you using?
Best,
Artur
Hi Artur
Sven has cleared up the reason for my query, relating to the selection of
Custom Model option which over-rides the default model types (LL LLT BSM).
I am using the 2021a version of Gretl with StrucTism 24 /12/ 20.
Nevertheless, in a model specified with stochastic irregular, stochastic
trend and stochastic slope options, I would have anticipated the forecasts
would not be perfectly linear. Perhaps this reflects my lack of awareness
of the form of the forecast function in the module.
Sorry I can't provide script as I am using the GUI.
Brian
On Fri, 22 Jan 2021 at 15:55, Artur Tarassow <atecon(a)posteo.de> wrote:
Am 22.01.21 um 16:47 schrieb Brian Revell:
> The three model selection options, Local Level, Local linear Trend and
> Basic structural Model all appear to give the same parameter estimates
> if the same combination of options regarding irregular, trend and
> slope are selected . Is this to be expected? If so, why the need to
> differentiate the three model types?
> Brian
Hi Brian,
It would be helpful if you could provide a script for replication. Also,
which version of StrucTiSM are you using?
Best,
Artur
_______________________________________________
Gretl-users mailing list -- gretl-users(a)gretlml.univpm.it
To unsubscribe send an email to gretl-users-leave(a)gretlml.univpm.it
Website:
https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
Am 22.01.2021 um 16:47 schrieb Brian Revell:
The three model selection options, Local Level, Local linear Trend
and
Basic structural Model all appear to give the same parameter estimates
if the same combination of options regarding irregular, trend and
slope are selected . Is this to be expected? If so, why the need to
differentiate the three model types?
Hi,
this is probably a misunderstanding: In the GUI dialog window, if you
tick the "custom model" box, that means you override the short-cut
standard models (LL,LLT,BSM). If you then select the same options, you
are not comparing different models.
cheers
sven
1354
days inactive
1354
days old
3 comments
3 participants
tags (0)
participants (3)
-
Artur Tarassow -
Brian Revell -
Sven Schreiber