[Gretl-users] arima forecasting

Chris quilley at gmail.com
Wed Jun 20 20:01:17 EDT 2007

I don't know about arima, but I'm doing the same thing with other
regressions and the gyst of how you do it is if you have the formula Y=XB
and you want to forecast Y forward you need observations (or estimates) of
the X's for the time period you want, then some way to set the sample space
for your forecast. What I did was I appended the observations of the X's for
which there was no Y to the endo fthe data set, then created a dummy
variable that was 1 when there was a Y and 0 otherwise (I did this part in
excel). then I just used smpl dummyvar --dummy (I can't remember if this is
the exact switch, look in the manual) then fcast in the standard form in the
manual. (ie fcast fit2). Momentarily scanning the ref pdf to find the fcast
fit2 command above I noticed that you don't even have to use the dummy
variable thing I mentioned above, you can set the sample to what you want
right in the fcast command.

Hope this helps


On 6/20/07, walgula at wp.pl <walgula at wp.pl> wrote:
>  Hello, I'm trying to use an a raima model to forecasting.
> How to write a script that forecasts forwards some variable?
> I've dataset/file that includes "X" observations in time and i want to
> forecast this observation in time hour+1 or hour+2 forewards.
> How to do it? I know that I should to use "fcast" or "fcasterr" functions,
> but i don't know how to get time parameters.
> Please, help me.
> Best regards, walgula
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> Gretl-users mailing list
> Gretl-users at lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
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