[Gretl-users] ARIMA models

Allin Cottrell cottrell at wfu.edu
Thu Jul 4 13:09:54 EDT 2013


On Thu, 4 Jul 2013, Thomas Wagner  Castillo wrote:

> Hi,I've been using gretl for different kinds of models and I 
> have a question about the ARIMA models. I use the graphic 
> interface and not the console, because I haven't had time to 
> learn the commands. After calculating the models with 
> several lags on the dependent variable I attempted to use 
> the parameters to replicate the fitted values using Excel. 
> My question is how the fitted values are calculated, because 
> I don't know how the first values are calculated, since 
> there is no data for the lagged variable.

The fitted values, $yhat, are calculated as the actual values 
minus the one-step ahead forecast errors, $uhat, as calculated 
via the Kalman filter (for exact ML). There's no data for the 
lagged variable at first, but these unknown values are in 
effect part of what is estimated via Kalman in deriving the
MLE.

> Thank you for your help and for this great program.

Glad you like it.

Allin Cottrell


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