Re: [Gretl-users] Simple ARIMA problem

[Dr RJF Hudson]

Greetings all...smiles to everybody, too..
I'm a total novice at Gretl so please bear with me when I ask this question...
Can Gretl simulate the (1,1,1) model discussed below ?
Probably does this very well but just asking.
What algorithm does the proggie use to generate the random numbers utilised in 
the theta term ?
Suppose  (2,1,2) was discussed what's Gretl's procedure to generate the random 
number terms.
And at waht stage does the proggie do the differencing
Just asking..that's all
Interesting stuff.
Thanks for reading so far..
Richard H 

Dr RJF Hudson Qld Australia 
rjfhud(a)powerup.com.au

  ----- Original Message ----- 
  From: Gústaf Steingrímsson 
  To: 'gretl-users(a)lists.wfu.edu' 
  Sent: Wednesday, October 27, 2010 12:12 AM
  Subject: [Gretl-users] Simple ARIMA problem


  Hi

   

  While trying to work with ARIMA(1,1,1) in Gretl I got into problems. The 
problem is that having set upp the numbers (values, prediction and errors that 
was produced by Gretl) in spreadsheet and using the parameters that I got I 
couldnt get the same forecast number as Gretl got. I used just this simple 
formula to calculate the forecast:

   



   

  That is why I ask: Is this formula differently in ARIMA(1,1,1) as it is 
calculated by Gretl and how is that?

   

  I also tried to use OLS on a time series y(t) which had been differenced one 
time (d(1)) and the explanatory variable was y(t-1) and got a different 
parameters result than using ARIMA(1,1,0) which I shouldn't or what?

   

  I would be very thankful for useful replies. 

   

   

   

  Kveðja / With regards

  Gústaf Steingrímsson

  Landsbankinn

  Sérfræðingur / Analyst

  Áhættustýring / Risk Management

  Sími / Tel.: (+354) 410 6993

  Farsími / Mobile: (+354) 820 2646

  Fax: (+354) 410 3010

  www.landsbanki.is

   

  Landsbankinn (NBI hf.), kt. 471008-0280, Austurstræti 11, 155 Reykjavík, er 
skráð hlutafélag og starfar samkvæmt heimild og undir eftirliti 
Fjármálaeftirlitsins. 
  Landsbankinn (NBI hf.), Austurstræti 11, 155 Reykjavík. is incorporated in 
Iceland with limited liability (Reg. No: 471008-0280) and is authorised and 
regulated by the Financial Supervisory Authority in Iceland 
(Fjármálaeftirlitið). 

  Fyrirvari/Disclaimer: http://www.landsbankinn.is/disclaimer 



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Greetings all...smiles to everybody, too.. I'm a total novice at Gretl so please bear with me when I ask this question... Can Gretl simulate the (1,1,1) model discussed below ? Probably does this very well but just asking. What algorithm does the proggie use to generate the random numbers utilised in the theta term ? Suppose  (2,1,2) was discussed what's Gretl's procedure to generate the random number terms. And at waht stage does the proggie do the differencing Just asking..that's all Interesting stuff. Thanks for reading so far.. Richard H    Dr RJF Hudson Qld Australia rjf...@powerup.com.au ----- Original Message ----- From: Gústaf Steingrímsson To: 'gretl-us...@lists.wfu.edu' Sent: Wednesday, October 27, 2010 12:12 AM Subject: [Gretl-users] Simple ARIMA problem Hi   While trying to work with ARIMA(1,1,1) in Gretl I got into problems. The problem is that having set upp the numbers (values, prediction and errors that was produced by Gretl) in spreadsheet and using the parameters that I got I couldnt get the same forecast number as Gretl got. I used just this simple formula to calculate the forecast:     That is why I ask: Is this formula differently in ARIMA(1,1,1) as it is calculated by Gretl and how is that?   I also tried to use OLS on a time series y(t) which had been differenced one time (d(1)) and the explanatory variable was y(t-1) and got a different parameters result than using ARIMA(1,1,0) which I shouldn‘t or what?   I would be very thankful for useful replies.       Kveðja / With regards Gústaf Steingrímsson Landsbankinn Sérfræðingur / Analyst Áhættustýring / Risk Management Sími / Tel.: (+354) 410 6993 Farsími / Mobile: (+354) 820 2646 Fax: (+354) 410 3010 www.landsbanki.is   Landsbankinn (NBI hf.), kt. 471008-0280, Austurstræti 11, 155 Reykjavík, er skráð hlutafélag og starfar samkvæmt heimild og undir eftirliti Fjármálaeftirlitsins. Landsbankinn (NBI hf.), Austurstræti 11, 155 Reykjavík. is incorporated in Iceland with limited liability (Reg. No: 471008-0280) and is authorised and regulated by the Financial Supervisory Authority in Iceland (Fjármálaeftirlitið). Fyrirvari/Disclaimer: http://www.landsbankinn.is/disclaimer _______________________________________________ Gretl-users mailing list gretl-us...@lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users