How RATS preduce FITTED values when some inputs are missing

[anozman]

Hi,

I have been fitting a univariate ECM model. The quarterly data is from 1990:01 to 2011:04 (04 is December quarter).

In my model, there is an input variable -> x{-4} (a lagging indicator of y{0})
(please do not worry about why I use a lagging indicator)

A simple example for illustration purpose: y(t)=b0+b1x(t+4)

From the series window, I have checked the FITTED and the residuals series,

The residuals stopped at 2010:04, which is correct, but the FITTED series has 4 additional unexpected fitted values from 2011:01 to 2011:04.

I was wondering who could tell me how RATS compute these values and under what assumptions these numbers are generated?

Thanks in advance!

anozman

[moderator]

You didn't mention how you estimated the model or computed the fitted values, but, generally speaking, RATS can't produce a fitted value for Y(t) if the necessary right-hand-side values aren't available.

Suppose you have just a single linear equation like:

y(t)=b0+b1x(t+4)

which is estimated using LINREG, for example, and you are using PRJ, UFORECAST, or FORECAST to computed fitted values or forecasts.

You would only be able to produce a fitted value for 2011:4 if the X series was in fact defined through 2012:4.

So, the most likely explanation is that the model is defined differently than you intended, or that your data is available over a different range than you think (perhaps you did something earlier in the program that extend the "X" series?).

In any case, the first step would be to do a PRINT instruction over the entire relevant data range--for example:

print * 2012:4 y x

to see how your data is actually defined. Then work back from there to find the source of the confusion.

Regards,
Tom Maycock
Estima

[anozman]

Thank you very much Tom!

I think the last 4 values in the FITTED series are from a model specification that I estimated earlier without using x(-4). otherwise, it would not make sense!!!

If this is the case, it might raise the question whether RATS should be able to clear all the values previously stored in the FITTED series before store other values from the current model estimation.

Thank you very much again for your help!

Regards

anozman

[TomDoan]

You can do a CLEAR FITTED yourself. With the exception of residuals series, most series calculations don't clear the target first.

[anozman]

Thank you very much Tom!