[Gretl-devel] Bug in Exponential Smoothing

peter peter at tomatoad.com
Sun Sep 13 22:06:56 EDT 2009


Allin Cottrell wrote:
> On Sun, 13 Sep 2009, peter wrote:
>
>   
>> I believe there is a bug in the Exponential Smoothing code. Using the
>> example from Makridakis, Wheelwright, Hyndman, "Forecasting Methods and
>> Applications," 3e, table 4-3 on page 151, ...
>>     
>
> [ gretl produces results which have to be lagged one period to
> match those in the textbook. ]
>
> Yes, you're right.  The exact specification of the EMA formula
> seems kind of arbitrary to me,
Agreed.  

>  but given that we offer EMA at all
> we should abide by the most common convention.
>
> I think this should now be fixed in CVS.
>   
Thanks very much.
Peter

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