[Gretl-devel] Adding observations within a function

Riccardo (Jack) Lucchetti r.lucchetti at univpm.it
Fri Jul 31 09:08:03 EDT 2015


On Fri, 31 Jul 2015, Sven Schreiber wrote:

> 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?

I have to say, you have a point. However, there's a big difference (in 
terms of internal work needed, checks etc) between

(a) starting your job with a dataset that extends into the future because 
you know from the start that you'll want to do some forecasting (and this 
is possible right now), and

(b) starting your job with a certain dataset and then saying "well I think 
I could use a couple more obs, let's extend the dataset"

Whereas from the user's point of view it's not too much to ask to go for 
(a) instead of (b).

-------------------------------------------------------
   Riccardo (Jack) Lucchetti
   Dipartimento di Scienze Economiche e Sociali (DiSES)

   Università Politecnica delle Marche
   (formerly known as Università di Ancona)

   r.lucchetti at univpm.it
   http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------


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