Allin Cottrell schrieb: > On Tue, 1 Sep 2009, Oliver Heering wrote: > >> I already figured out how to fit an ARIMA process to my data >> (ok, how to actually find GOOD AR/MA/difference orders would be >> another question). And i can save the resulting model as Icon to >> my session. Does that mean i can also apply my model to any >> other data (of the same type of course)? Let's say i fit my >> model against a timeseries range A. How can i find out how my >> model fits to another timeseries range B? >> >> Maybe this isn't possible at all and i am misunderstanding the >> whole concept of ARIMA models and -forecasting. I am primary >> working with the data mining tool "RapidMiner", which allows you >> to easily apply any learned model to new and unseen data >> (classification mainly, but regression as well) and i wonder if >> it is the same with an estimated ARIMA model. > > In the gretl GUI, an existing model is in effect defined by an > estimation method (e.g. ARIMA). On opening a saved model you can > use the menu item "/Edit/Modify model..." in the model window to > create a new, related model. You can substitute a new dependent > variable, and/or edit the list of regressors, and/or tweak things > such as the lag order.
See Allin how cool this feature is? ;-) > > In a gretl script, there's no limit to the extent to which you can > use an existing model as the basis for a new one. Just copy, > paste and edit. Actually, I thought that what Oliver had in mind when he spoke of a model was the estimated coefficients as well, not "just" the general specification. Then it wouldn't be so easy I guess, because a saved model in gretl terms is tied to the used data sample as well, right? But maybe I didn't understand him correctly... cheers, sven
