#104 Forecast ARMAX model produces error

closed-fixed
5
2009-04-25
2009-04-24
Good_Newz
No

Forecasting out of sample using ARMAX model with a specific lag (eg. lag 2, anything but one) saved from a previous gretl session produces mumbo-jumbo. To replicate build a model then save to session as an icon. Save session file. Close Gretl. Open Gretl and previous session file. Forecast ahead and you will get wrong predictions. I have attached a session file that show the results. Model 3(lag 1) works but Model 4 and 5 do not. If you redo model 4 or 5 you will get correct forecasts.

Discussion

  • Good_Newz
    Good_Newz
    2009-04-24

    Test session to show the results

     
    Attachments
  • Allin Cottrell
    Allin Cottrell
    2009-04-24

    • labels: 1058735 --> data storage/retrieval
    • assigned_to: nobody --> allin
     
  • Allin Cottrell
    Allin Cottrell
    2009-04-24

    This session file is certainly messed up. I'll investigate.

     
  • Allin Cottrell
    Allin Cottrell
    2009-04-24

    Can you tell me, please: what was the version and build date of
    gretl when your test file was saved?

    CVS and windows snapshot now contain a fix that should help
    with this.

     
  • gretl 1.8.0 build date 2009-01-23. It also seems like previous versions of gretl do not suffer from this bug. 1.7.9 in particular

     
  • Allin Cottrell
    Allin Cottrell
    2009-04-25

    This bug was specific to session-saved ARMA models which call for
    particular AR or MA lags (as opposed to just giving an AR/MA order).
    For example, one of the models that was problematic in your test
    file called for a single MA term at lag 6. So far as I can see, this
    bug must have existed ever since the facility to specify particular
    lags in ARMA was first introduced. But it's fixed now.

     
  • Allin Cottrell
    Allin Cottrell
    2009-04-25

    • status: open --> closed-fixed
     
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