On Wed, Jun 20, 2012 at 1:16 PM, Skipper Seabold <jsseabold(a)gmail.com> wrote: > On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell <cottrell(a)wfu.edu> wrote: >> >> On Wed, 20 Jun 2012, Skipper Seabold wrote: >> >> > I was playing around and I think I noticed a bug in ARMA prediction, or >> > I >> > am missing something. You can find the data to replicate here >> > >> > http://www.pastie.org/4120330 [...] >> >> (Annual sun activity data, 1700 to 2008, attached in gretl >> format for reference) >> >> Thanks, you're right. There was an off-by-one error in the >> code that decides when a dynamic ARMA forecast can start using >> previously computed forecast values in place of the observed >> data. In your case, with an AR order of 9, gretl didn't start >> using computed values until the forecast for 1711, whereas it >> should start with the forecast for 1710. >> >> With this point corrected (in CVS), gretl agrees with Stata. >
Out of curiosity does this only affect AR models estimated with ARMA or should I go back and check my ARMA(p,q) dynamic forecasts that start in-sample as well? Skipper
