[Gretl-users] arima forecasting

[Allin Cottrell]

On Wed, 20 Jun 2007, 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.

Example:

# open Ramanathan hourly data set
open data10-2.gdt
# arma (1,1) for electricity usage
arima 1 0 1 ; 2
# add 3 observations for out of sample forecast
addobs 3
# display out-of-sample forecast
fcasterr 32:01 32:03

The "32:01" and "32:03" above are the starting and ending 
observations for the forecast.  If the hourly data were not 
notated as "day:hour" you might do something like

  fcasterr 101 103

(assuming the original data went to obs 100, and you want an 
out-of-sample forecast).

Allin Cottrell