EViews.com

Hello!

I've got in User's Guide that exponential smoothing estimate best values for smoothing parameters by minimising SSR. What exactly method do you use? If it is grid search, is it effective? If one of nonlinear optimisation methods - does it always get the best coefficients. And I actually can't find, what value of tolerance you provide exactly in this method.

Thank you.

Well, I found the following:

"EViews uses (a version of) grid search for the exponential smoothing routine." (UG II, p.759)

So, it isn't exactly a grid search, am I right?

It is grid search.

Thanks a lot!

Sorry, but how can it be simple grid search, when I didn't get the best result putting E, E, E for Holt-Winters - Additive ?
Please, check the workfile, SSR is better for 1,0,0, not for 1,0.74,0.

It is a grid search. Just not a particularly good one. If you want more accurate estimates of the parameters, you might want to use the ExpSmooth Add-in that calls the R Forecast package. Although you'll have to think a little about the seasonality of your data for that.

>If you want more accurate estimates of the parameters
And what accuracy do you provide?

I'm not sure I understand your question.

I mean, when you make a grid, what is the step? 0.01?

Yes.