free_fit_resid ()

void
free_fit_resid (FITRESID *fr);

Frees all resources associated with fr , then frees the pointer itself.

get_fit_resid ()

FITRESID *
get_fit_resid (const MODEL *pmod,
               const DATASET *dset,
               int *err);

Allocates a FITRESID structure and fills it out with the actual and predicted values of the dependent variable in pmod .

get_forecast ()

FITRESID *
get_forecast (MODEL *pmod,
              int t1,
              int t2,
              int pre_n,
              DATASET *dset,
              gretlopt opt,
              int *err);

Allocates a FITRESID structure and fills it out with forecasts based on pmod , over the specified range of observations. For some sorts of models forecast standard errors are also computed (these appear in the sderr member of the structure to which a pointer is returned; otherwise the sderr member is NULL).

The calculation of forecast errors, where applicable, is based on Davidson and MacKinnon, Econometric Theory and Methods, chapter 3 (p. 104), which shows how the variance of forecast errors can be computed given the covariance matrix of the parameter estimates, provided the error term may be assumed to be serially uncorrelated.

get_system_forecast ()

FITRESID *
get_system_forecast (void *p,
                     int ci,
                     int i,
                     int t1,
                     int t2,
                     int pre_n,
                     DATASET *dset,
                     gretlopt opt,
                     int *err);

Allocates a FITRESID structure and fills it out with forecasts based on the system at location p , over the specified range of observations.

do_forecast ()

int
do_forecast (const char *str,
             DATASET *dset,
             gretlopt opt,
             PRN *prn);

In the case of "simple" models with an autoregressive error term (AR, AR1) the forecast values incorporate the predictable component of the error.

forecast_options_for_model ()

void
forecast_options_for_model (MODEL *pmod,
                            const DATASET *dset,
                            FcastFlags *flags,
                            int *dt2max,
                            int *st2max);

Examines pmod and determines which forecasting options are applicable.

get_forecast_matrix ()

gretl_matrix *
get_forecast_matrix (int idx,
                     int *err);

recursive_OLS_k_step_fcast ()

FITRESID *
recursive_OLS_k_step_fcast (MODEL *pmod,
                            DATASET *dset,
                            int t1,
                            int t2,
                            int k,
                            int pre_n,
                            int *err);

fcast_get_continuous_range ()

void
fcast_get_continuous_range (const FITRESID *fr,
                            int *pt1,
                            int *pt2);

forecast_matrix_cleanup ()

void
forecast_matrix_cleanup (void);

enum FcastFlags

struct FITRESID_

struct FITRESID_ {
    int model_ID;   /* ID of model on which forecast is based */
    int asymp;      /* 0/1 flag for asymptotic estimator */
    int std;        /* 0/1 flag for standardized residuals */
    int model_t1;   /* start of model estimation range */
    int method;     /* one of the ForecastMethod options */
    double *actual; /* array of values of dependent variable */
    double *fitted; /* array of fitted values */
    double *resid;  /* array of residuals */
    double *sderr;  /* array of forecast standard errors (or NULL) */
    double sigma;   /* standard error of regression */
    double alpha;   /* for confidence intervals */
    int pmax;       /* if positive, suggested number of decimal places
                       for use in printing */
    int df;         /* degrees of freedom for model */
    int t0;         /* start of pre-forecast data range */
    int t1;         /* start of forecast range */
    int t2;         /* end of forecast range */
    int k;          /* number of steps ahead (method = FC_KSTEP only) */
    int nobs;       /* length of the arrays actual, fitted, resid */
    char depvar[VNAMELEN]; /* name of dependent variable */
};