[Gretl-users] Some questions about X-12-ARIMA

Dr RJF Hudson rjfhud at powerup.com.au
Mon Jan 10 02:37:54 EST 2011


My 2 bob's worth is to agree with AC (for what its worth)
Puter algorithms struggle when seeking mini differences tween local and global,  min or max values
when surfaces are pretty flat.
Is this any help

Dr RJF Hudson Qld Australia 
rjfhud at powerup.com.au

  ----- Original Message ----- 
  From: Allin Cottrell 
  To: Gretl list 
  Sent: Monday, January 10, 2011 2:35 PM
  Subject: Re: [Gretl-users] Some questions about X-12-ARIMA


  On Mon, 10 Jan 2011, [big5]   wrote:

  > In a word, why are the most outcomes of seasonal ARIMA and
  > X-12-ARIMA almost the same(ex:ARIMA(1,1,1)(1,1,0) and
  > X-12-ARIMA(1,1,1)(1,1,0), ARIMA(2,1,1)(0,1,2) and
  > X-12-ARIMA(2,1,1)(0,1,2)).  Their general equations are
  > different. Shouldn't their outcomes be different?

  What makes you think the results should be different? In your
  examples you are estimating the same seasonal ARIMA model using
  the same method (conditional ML) (a) via gretl itself and (b) via
  X-12-ARIMA.

  There are differences between native-gretl and X-12-ARIMA
  (explained in section 22.2 of the Gretl User's Guide) but if the
  model does not contain a constant or any exogenous variables these
  differences will not be apparent. (Of course, differences may
  emerge if the likelihood-maximization is particularly difficult
  and one or other of the programs fails to find the maximum.)

  Allin Cottrell




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