Gretl Tutorial 6: Modeling and Forecasting Time Series Data

In this video we run a linear regression on a time series dataset with time trend and seasonality dummies. Then, we perform and evaluate the accuracy of an in-sample forecast, as well as perform an out-of-sample (i.e., into the future) forecast.

TABLE OF CONTENTS:
00:00 Introduction
00:12 What we will do in this Video
00:40 Data
01:14 Glimpse Data in Excel
01:46 Load Data in Gretl
03:20 Plot Time Series
03:54 Create Additional Variables
04:38 Run Model with All Data
05:34 In-Sample Forecast
06:40 Evaluating Quality of In-Sample Forecast
10:37 Out-of-Sample Forecast

• #education
• #time_series
• #gretl_software
• #forecasting_literature_subject
• #statistics_field_of_study