On Sat, 23 Nov 2024, Brian Revell wrote: > Is there any reason why recursive forecasts cannot be generated and > included in the ARIMA option for univariate modelling forecasts (together > with their confidence intervals ) when no exogenous variables have been > included in the specification Clearly post sample data the MA terms would > drop out.
Brian, do you mean "recursive" in the specific sense used in the doeumentation for gretl's "fcast" command -- with re-estimation of the model specification on a progressively expanding sample at each time step? I ask because with ARIMA (without stochastic exogenous terms) a "dynamic" forecast can proceed out of sample, and is recursive in the more general sense of employing the chain rule of forecasting. As in, for example, open data9-7.gdt dataset addobs 10 arima 1 0 1 ; QNC fcast 1991:1 1993:2 --plot=display Allin _______________________________________________ Gretl-users mailing list -- gretl-users@gretlml.univpm.it To unsubscribe send an email to gretl-users-le...@gretlml.univpm.it Website: https://gretlml.univpm.it/postorius/lists/gretl-users.gretlml.univpm.it/
