Am 03.01.2021 um 13:47 schrieb Brian Revell:
State-space forecasts
The forecast part of the package works well as far as I can see.
Hi, thanks for testing.
However, it would be helpful and useful if the fitted values of the
BSM
are printed out or retrievable , in order to be able to create plots
that show original dep. variable, fitted and forecast values on the same
plot. Currently there one plot which shows dep var and fitted values,
and another which shows dep var and forecast. Apparently never the two
shall meet. A print out of fitted values would also be useful
-otherwise it is somewhat tedious picking them off the plot readout.
What you can do already is to save the series with the suffixes _level,
_irreg, _seas, _slope, and then also the matrix "coeff". If you stuff
those series into a gretl list then you can get the fitted values with
the function call:
series fitted = lincomb(mylist, coeff)
But I admit it's a lot of manual labor in the GUI there. We might add
the y-hats or the u-hats as series to the bundle as well, in the future.
I assume the shaded area of the forecast plot is the 95% CI - SEs
for
the fitted values would also be a useful information in the estimation
results.
Yes, 95% as the title of the plot says.
The series of forecast error variances is available in the result bundle
(and thus by clicking that icon) as "serfcv". Not sure what you mean by
"SE for fitted values".
cheers
sven