[Gretl-devel] Gretl-devel Digest, Vol 32, Issue 9

Hamaad Shah hamaadshah at hotmail.com
Mon Sep 14 02:49:21 EDT 2009


Greetings,

 

There seems to be a problem in the code for the ordered logit/probit model in GRETL. I'm getting different predictions in GRETL and R. It's possible that there is some bug in the code. 

 

Regards,


Hamaad Musharaf Shah,
Senior Associate Consultant,
A. F. Ferguson & Co. Chartered Accountants (PricewaterhouseCoopers).
 

> From: gretl-devel-request at lists.wfu.edu
> Subject: Gretl-devel Digest, Vol 32, Issue 9
> To: gretl-devel at lists.wfu.edu
> Date: Sun, 13 Sep 2009 20:05:18 -0400
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> Today's Topics:
> 
> 1. Bug in Exponential Smoothing (peter)
> 
> 
> ----------------------------------------------------------------------
> 
> Message: 1
> Date: Sun, 13 Sep 2009 18:07:17 -0600
> From: peter <peter at tomatoad.com>
> Subject: [Gretl-devel] Bug in Exponential Smoothing
> To: Gretl development <gretl-devel at lists.wfu.edu>
> Message-ID: <4AAD8935.8040908 at tomatoad.com>
> Content-Type: text/plain; charset="iso-8859-1"
> 
> Hello Devs,
> 
> 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, we should get,
> 
> When running the same in GRETL using
> 
> for each series, we get
> 
> When displayed we get,
> 
> To get the same MSE as Makridakis we need,
> 
> ? printf "MSE for SES1 is: %9.3f\n", sum((ship-ses1(-1))^2)/10
> MSE for SES1 is: 3438.332
> ? printf "MSE for SES2 is: %9.3f\n", sum((ship-ses2(-1))^2)/10
> MSE for SES2 is: 4347.237
> ? printf "MSE for SES3 is: %9.3f\n", sum((ship-ses3(-1))^2)/10
> MSE for SES3 is: 5039.368
> 
> The calculated EMAs are correct, but need to be lagged.
> 
> Which provides a graph that matches their figure 4-7
> 
> --Peter
> 
> 
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