[Gretl-devel] Bug in Exponential Smoothing
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,
> 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.
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