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

Allin Cottrell cottrell at wfu.edu
Wed Jul 22 20:28:38 EDT 2009


On Thu, 23 Jul 2009, Oliver Heering wrote:

> First of all, thanks for the quick answer! Great support.

You're welcome; and support for high frequency data would be a
nice thing to have in gretl.

> Let me just put the X-12-ARIMA and TRAMO/SEATS question in another
> way: Ok, monthly and quarterly is possible, daily maybe after
> revisiting gretl code. But am I right that both programs cannot handle
> hourly values at all? I thought that their seasonal adjustment
> algorithms just work for something more aggregated than hourly values.
> Correct? I tried to use TSW on a small subset of my data but already
> failed on specifying the periods in the data file.

Yes, specifying the periods in the data file is the tricky part!

I would be quite surprised if their seasonal adjustment routines
work for hourly data, but that is said out of gross ignorance on
my part.  I can't find an X-12-ARIMA mailing list on which to ask
questions -- it seems there's only an "announce" list -- so I
guess the only option is to search the manual.

Allin Cottrell




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