Re: [Gretl-users] Wrong Coefficient Estimation for ARIMA

2012-06-20 Thread Dr RJF Hudson
Hi send me the data in ascii form ie as a text file. when I see you using z, I think you are using Shumway's method of expression which is the reverse of Brockwell's, ie, the plus and minus signs are reversed. But your constant estimated value is a worry.. rjfh - Original Message -

Re: [Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Allin Cottrell
On Wed, 20 Jun 2012, Skipper Seabold wrote: > On Wed, Jun 20, 2012 at 1:16 PM, Skipper Seabold > wrote: >> On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell wrote: >>> >>> On Wed, 20 Jun 2012, Skipper Seabold wrote: >>> I was playing around and I think I noticed a bug in ARMA prediction,

Re: [Gretl-users] Wrong Coefficient Estimation for ARIMA

2012-06-20 Thread Ignacio Diaz-Emparanza
On 20/06/12 11:47, Sanzad Siddique wrote: > Hi, > > I have tried the ARIMA command in GRETL with the attached time series > data. The time series is constructed with the below formula ( a- is > normal random values): > > z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) -0.75*a(t-2); >

Re: [Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Skipper Seabold
On Wed, Jun 20, 2012 at 1:16 PM, Skipper Seabold wrote: > On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell wrote: >> >> On Wed, 20 Jun 2012, Skipper Seabold wrote: >> >> > I was playing around and I think I noticed a bug in ARMA prediction, or >> > I >> > am missing something. You can find the

Re: [Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Skipper Seabold
On Wed, Jun 20, 2012 at 12:29 PM, Allin Cottrell wrote: > On Wed, 20 Jun 2012, Skipper Seabold wrote: > > > I was playing around and I think I noticed a bug in ARMA prediction, or I > > am missing something. You can find the data to replicate here > > > > http://www.pastie.org/4120330 [...] > >

Re: [Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Allin Cottrell
On Wed, 20 Jun 2012, Allin Cottrell wrote: > On Wed, 20 Jun 2012, Skipper Seabold wrote: > >> I was playing around and I think I noticed a bug in ARMA prediction, or I >> am missing something. You can find the data to replicate here >> >> http://www.pastie.org/4120330 [...] > > (Annual sun

Re: [Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Allin Cottrell
On Wed, 20 Jun 2012, Skipper Seabold wrote: > I was playing around and I think I noticed a bug in ARMA prediction, or I > am missing something. You can find the data to replicate here > > http://www.pastie.org/4120330 [...] (Annual sun activity data, 1700 to 2008, attached in gretl format for

[Gretl-users] incorrect dynamic ARMA prediction

2012-06-20 Thread Skipper Seabold
Hi, I was playing around and I think I noticed a bug in ARMA prediction, or I am missing something. You can find the data to replicate here http://www.pastie.org/4120330 I am on a recent CVS checkout. gretl 1.9.9. I don't know cvs well enough to get more information. It's yearly sunspot

Re: [Gretl-users] Wrong Coefficient Estimation for ARIMA

2012-06-20 Thread Allin Cottrell
On Wed, 20 Jun 2012, Sanzad Siddique wrote: > I have tried the ARIMA command in GRETL with the attached time series data. > The time series is constructed with the below formula ( a- is normal random > values): > >z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) > -0.75*a(t-2); > >

[Gretl-users] Wrong Coefficient Estimation for ARIMA

2012-06-20 Thread Sanzad Siddique
Hi, I have tried the ARIMA command in GRETL with the attached time series data. The time series is constructed with the below formula ( a- is normal random values): z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) -0.75*a(t-2); with the arima command (arima 2 0 2; 1), for order