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