Thank you Sven for your answer. It is common practice to minimize the SSE in order to obtain the alpha parameter in conjunction with exponential smoothing methods. The goal is not to get a perfect smoothing but to adapt the smoothing method to the data in order to do a better forecasting. Of course you have other methods to do the forecasting.... By adding this feature you give an added value to "simple" users who are not acquainted with functions and scripts and you make in this sense a more user-friendly package... Raul Gimeno -----Ursprüngliche Nachricht----- Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von gretl-users-request(a)lists.wfu.edu Gesendet: Freitag, 25. September 2015 17:42 An: gretl-users(a)lists.wfu.edu Betreff: Gretl-users Digest, Vol 104, Issue 36 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: exponential moving average (Allin Cottrell) 2. exponential moving average (Raul Gimeno) 3. Re: exponential moving average (Sven Schreiber) 4. Re: exponential moving average (Allin Cottrell) 5. Re: exponential moving average (Allin Cottrell) 6. Testing for homogeneity (Cameron Heimerdinger) 7. Re: exponential moving average (Allin Cottrell) ---------------------------------------------------------------------- Message: 1 Date: Thu, 24 Sep 2015 13:00:02 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] exponential moving average Message-ID: <alpine.LNX.2.20.3.1509241247300.1399(a)localhost.localdomain&gt; Content-Type: text/plain; charset=US-ASCII; format=flowed On Thu, 24 Sep 2015, Allin Cottrell wrote: In fact the "nls" command should do the job more simply, as in: <hansl> series S = S0 nls y = S S = S0 S = alpha * y(-1) + (1-alpha) * S(-1) params alpha end nls -v </hansl> where y is a data series, S is the series to hold the EMA, and S0 and alpha are suitably initialized scalars. (This is the Hunter variant of EMA, where S(t) is based on y(t-1) rather than y(t).) Allin Cottrell ------------------------------ Message: 2 Date: Fri, 25 Sep 2015 11:05:33 +0200 From: "Raul Gimeno" <mrexito(a)vtxmail.ch&gt; To: <gretl-users(a)lists.wfu.edu&gt; Subject: [Gretl-users] exponential moving average Message-ID: <007e01d0f771$55c01080$01403180$(a)vtxmail.ch&gt; Content-Type: text/plain; charset="iso-8859-1" Dear Allin I again insist on the exponential moving average calculation. The calculation done by Gretl for the exponential moving average should be slightly changed at the beginning of the series calculation according to me: We have a = 0.1 and Y(1) = 362 (first observation) Y(2) = 381 (second observation) The starting value in our case is 351 = EMA(0) = mean of the whole time series. EMA(1) = aY(1) + (1-a)EMA(0) = 0.1*362 + 0.9*351 = 352.10. --> EMA(1) is the one-step forecast done in period 1 for period 2 = --> Y^(1) EMA(2) = aY(2) + (1-a)EMA(1) = 0.1*381 + 0.9*352.10 = 354.99 --> EMA(2) is the one-step forecast done in period 2 for period 3= Y^(2) Gretl calculation is: EMA(1) = 351 EMA(2) = aY(2) + (1-a)EMA(1) = 0.1*381 + 0.9*351 = 354 By doing so the observed value in period 1, Y(1) = 362 is not used at all. This information is simply ignored! By using the Gretl values I obtain a lower SSE as using my calculations (done in Excel). I don't know whether it is always like this or it is due to a particular example. I want to choose the optimal parameter a that minimizes the SSE. Would it be possible to include these feature within the menu without having to run a script? I think about users like me who are not familiar with defining functions and using BFGSmax. Thank you in advance Raul Gimeno -----Urspr?ngliche Nachricht----- Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von gretl-users-request(a)lists.wfu.edu Gesendet: Donnerstag, 24. September 2015 18:00 An: gretl-users(a)lists.wfu.edu Betreff: Gretl-users Digest, Vol 104, Issue 35 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: exponential moving average (Allin Cottrell) ---------------------------------------------------------------------- Message: 1 Date: Thu, 24 Sep 2015 10:11:42 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] exponential moving average Message-ID: <alpine.LNX.2.20.3.1509240907410.1399(a)localhost.localdomain&gt; Content-Type: text/plain; charset=US-ASCII; format=flowed On Thu, 24 Sep 2015, Raul Gimeno wrote: As Jack said, that's now done in CVS. It will be in the snapshots shortly. The more elaborate filters (e.g. Butterworth, Polynomial trend) have a Help button in the set-up dialog box which gives some details. I think the best thing here might be to add some help text for the EMA also. There seems to be a difference over dating assumptions here. What gretl does is to put the initializer for the EMA into the first observation of the output series (which gretl calls t = 1, there's no t = 0). Then the first actual computed value is EMA(2) = a*Y(2) + (1-a)*EMA(1). It seems you are placing the EMA initializer before the data start, and then doing the first EMA calculation using Y(1). So far as I can tell, the procedure gretl uses is that given by NIST (http://www.itl.nist.gov/div898/handbook/pmc/section3/pmc324.htm ) but I'm not sure if there's a truly canonical approach here. (It's the sort of thing that won't make any difference asymptotically.) The BFGSmax function can do this sort of thing. See the chapter on Numerical methods in the User's Guide. Allin Cottrell ------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users End of Gretl-users Digest, Vol 104, Issue 35 ******************************************** ------------------------------ Message: 3 Date: Fri, 25 Sep 2015 11:53:24 +0200 From: Sven Schreiber <svetosch(a)gmx.net&gt; To: gretl-users(a)lists.wfu.edu Subject: Re: [Gretl-users] exponential moving average Message-ID: <56051994.9020104(a)gmx.net&gt; Content-Type: text/plain; charset=windows-1252; format=flowed Am 25.09.2015 um 11:05 schrieb Raul Gimeno: I am not convinced that minimizing the SSE is the universally appropriate goal here. The trivial solution to obtaining a perfect fit is not to smooth in the first place, so somehow this problem strikes me as ill-defined. I am open for discussion, but as of now I would be opposed to this "feature". sorry, sven ------------------------------ Message: 4 Date: Fri, 25 Sep 2015 07:38:12 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] exponential moving average Message-ID: <alpine.LNX.2.20.3.1509250730310.5509(a)localhost.localdomain&gt; Content-Type: text/plain; charset=US-ASCII; format=flowed On Fri, 25 Sep 2015, Raul Gimeno wrote: OK, I've taken another look at the literature and I accept your point: it seems to be more common, when using the Roberts EMA formulation, to take the initializer as a "pre-sample" value and therefore to start calculating the filter at observation 1. The gretl code is now modified accordingly in CVS and snapshots. A couple of other modifications: (1) I see that it's quite common for the EMA initializer to be an "a priori" value. That's now supported in the EMA dialog, and also in the movavg() function which now has an optional 4th argument for supplying an initial value. (2) The EMA dialog now has a Help button which gives some details and refers to the movavg() function. Allin Cottrell ------------------------------ Message: 5 Date: Fri, 25 Sep 2015 07:53:46 -0400 (EDT) From: Allin Cottrell <cottrell(a)wfu.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: Re: [Gretl-users] exponential moving average Message-ID: <alpine.LNX.2.20.3.1509250738210.5509(a)localhost.localdomain&gt; Content-Type: text/plain; charset=US-ASCII; format=flowed On Fri, 25 Sep 2015, Sven Schreiber wrote: ill-defined. I share Sven's skepticism on this point. And as I've mentioned, it's easy to do this using the "nls" command if you really want to. IMO, calculating the min-SSE parameter makes sense only if one uses the Hunter version of the EMA, s(t) = a*y(t-1) + (1-a)*s(t-1), in which case you can't get a trivial perfect fit. But I notice that in this case there's no guarantee that the "optimal" a satisfies 0 < a < 1. Interestingly enough, the example given on the NIST website http://www.itl.nist.gov/div898/handbook/pmc/section4/pmc431.htm has a local SSE minimum at about a = -0.12 and a global minimum at about 1.68, with nothing resembling a minimum in the "legitimate" range. (Although they talk about applying the Marquardt procedure they don't mention the result!) Allin ------------------------------ Message: 6 Date: Fri, 25 Sep 2015 09:10:47 -0600 From: Cameron Heimerdinger <crh2010(a)rams.colostate.edu&gt; To: Gretl list <gretl-users(a)lists.wfu.edu&gt; Subject: [Gretl-users] Testing for homogeneity Message-ID: <CAJ_MJ7f7Y8aH5CxG+THTmURTM1c7bgFZjZqB2iFfVbX0Oh6Wmw(a)mail.gmail.com&gt; Content-Type: text/plain; charset="utf-8" Is there an easy way in gretl to test whether or not a demand model supports homogeneity? Sincerely, Cameron Heimerdinger Masters Student, Agricultural, Environment and Resource Economics Admin Assistant, Colorado State Forest Service (970) 817-3943 crh2010(a)rams.colostate.edu