[Gretl-devel] Adding observations within a function

Sven Schreiber svetosch at gmx.net
Fri Jul 31 08:08:45 EDT 2015


Am 28.07.2015 um 19:43 schrieb Allin Cottrell:
> At the Berlin gretl conference Marcin asked me if it would be possible
> to enable use of "dataset addobs" within functions.
> 
> I can see the point in this: if you're writing a package that's intended
> to do forecasting, it would be very useful to be able to add
> observations, even if just temporarily. This is now in not-CVS [
> http://ricardo.ecn.wfu.edu/pub/gretl/gretl-updates.tgz ] and snapshots
> (on ricardo.ecn.wfu.edu).
> 
> You can use "dataset addobs" in a function only if the end of the sample
> range, on entry, is the end of the dataset (i.e. $t2 cannot be
> restricted, though $t1 could be). And when the function exits the extra
> observations disappear. So if you want to return an out of sample
> forecast you'd have to do that in the form of a matrix.
> 

I'm not saying by any means that there's an urgent need for action, but
I don't understand why out-of-sample forecasting would have to be
"crippled" in this way.

In my view producing out-of-sample forecasts is one of the central aims
of applied time-series econometrics. Gretl then says "sorry I don't
support this (fully) with my built-in objects series and lists, it makes
me uneasy". Not exactly a first-class treatment, no?

thanks,
sven



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