tag:blogger.com,1999:blog-6837159629100463303.post6540445698692126702..comments2021-07-22T00:29:53.205-07:00Comments on Information Transfer Economics: Interest rates and predictionsJason Smithhttp://www.blogger.com/profile/12680061127040420047noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-6837159629100463303.post-92207333820121025642015-08-18T10:37:20.910-07:002015-08-18T10:37:20.910-07:00Thanks, that makes sense.Thanks, that makes sense.Tom Brownhttp://www.google.comnoreply@blogger.comtag:blogger.com,1999:blog-6837159629100463303.post-57684067556439377562015-08-18T10:28:37.741-07:002015-08-18T10:28:37.741-07:00"Jason, when you say 'failed to fit' ..."Jason, when you say 'failed to fit' do you mean that the routine didn't converge?"<br /><br />Nah, it just got trapped in a local minimum and effectively fit the data to a constant ... if r ~ k log(N/M) + b, it chose k ~ 0 and b ~ mean(r). One usually has to perturb the starting values in those cases or try a different method.<br /><br />"Also, when you say you deleted them, do you mean there are a couple of skipped frames in the animation?"<br /><br />Yes.<br /><br />"So first you do the non-linear fit to a set of data (up to some year). This gives you the parameters for the ITM, true?" <br /><br />Yes. Let's call that nlm = NonlinearModelFit[{r data}, model, parameters, time]. Evaluate nlm and nlm["SinglePredictionBands"] with m0(time) and ngdp(time).<br /><br />"Then how do you use the time series fit for the extrapolation?"<br /><br />It's quite literally:<br /><br />tsm = TimeSeriesModelFit[m0 for years < 'some year']<br />forecastm0data = TimeSeriesForecast[tsm, {10 years}]<br /><br />Do the same with ngdp.<br /><br />Then evaluate nlm and nlm["SinglePredictionBands"] with forecastXdata(time) for both X = ngdp and m0.<br /><br />All of the mathematica documentation is online, so you can look up the commands (written with capital letters).Jason Smithhttps://www.blogger.com/profile/12680061127040420047noreply@blogger.comtag:blogger.com,1999:blog-6837159629100463303.post-81817053197963272882015-08-18T08:42:23.083-07:002015-08-18T08:42:23.083-07:00Jason, when you say "failed to fit" do ...Jason, when you say "failed to fit" do you mean that the routine didn't converge?<br /><br />Also, when you say you deleted them, do you mean there are a couple of skipped frames in the animation?<br /><br />Also, can you say a few more words about the process? So first you do the non-linear fit to a set of data (up to some year). This gives you the parameters for the ITM, true? Then how do you use the time series fit for the extrapolation?Tom Brownhttps://www.blogger.com/profile/17654184190478330946noreply@blogger.com