[Gretl-users] AR(I)MA on hourly data

Oliver Heering sloppydrive at googlemail.com
Wed Jul 22 17:19:37 EDT 2009


Hi,

i'd like to fit an ARMA or ARIMA model to hourly timeseries data. As i
see monthly or quarterly timeseries in examples most of the time, some
questions arise:

My data summary:
Type of data: time series
Frequency: hourly
Range: 1:01 - 3325:24 (n = 79800) <- yes, a lot i assume?

- is there any possibility to use special labels for my values? I
imported the timeseries from CSV files which had a timestamp for each
value. gretl extracted these strings and stored them in
string_table.txt. How can i use these strings for example in plots?
Having only 3456:23 as label isn't much of a help, "2006-04-02
15:00:00" would be much better. What is the string_table.txt for?
Haven't found any clue in the docs.

- I know about X-12-ARIMA and TRAMO/SEATS integration and i also know
about their limitation of about 720/600 values. Is it true that both
programs only work for monthly timeseries? I have the feeling that any
results on my hourly data would be worthless (apart from the fact that
i have to trim the data dramatically)

- why can't i compact my data with gretl? hourly -> daily -> weekly ->
monthly... even daily data cannot be compacted AFAIR.

- a general question: can i resize the plots that gretl produces
(aspect-ratio changes for example)? or do i have to: 1. save the plot
as icon  2. copy over the plot commands to gnuplot  3. edit size of
plot manually by issuing "set term ..." (i want to store the plot as
file)

Any answer or starting tips are much appreciated. Thanks in advance!

-- 
mfg,
Oliver


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