[Gretl-devel] Arima problem

Hi I posted a question few days ago but wasn't clear about my problem so I didn't receive the answer I was looking for. That is why I present my problem again. I was using standard non-seasonal ARIMA(1,1,1) model which should be on the form: Y^(t) = c + Y(t-1) + Phi*(Y(t-1)-Y(t-2)) + theta*e(t-1) I got parameters from Gretl for c, Phi and theta. I also got time series for Y(t) and Y^(t) for many values of t's. I assumed that e(t-1) = Y(t) - Y^(t-1) in order to compare values of Y^(t) that the model got and what I should get on the spreadsheet by using the values for above parameters and the above equation. The values didnt match at all. There seemed to be no systemic explanation for the difference between Y^(t) that the model got and what I got. I did this several times for various time series but wasnt able to set up the calculations right so that I would get the same results as the forecasted values. Much thanks in advance Gustaf Kveðja / With regards Gústaf Steingrímsson Landsbankinn Sérfræðingur / Analyst Áhættustýring / Risk Management Sími / Tel.: (+354) 410 6993 Farsími / Mobile: (+354) 820 2646 Fax: (+354) 410 3010 www.landsbanki.is<http://www.landsbanki.is/> Landsbankinn (NBI hf.), kt. 471008-0280, Austurstræti 11, 155 Reykjavík, er skráð hlutafélag og starfar samkvæmt heimild og undir eftirliti Fjármálaeftirlitsins. Landsbankinn (NBI hf.), Austurstræti 11, 155 Reykjavík. is incorporated in Iceland with limited liability (Reg. No: 471008-0280) and is authorised and regulated by the Financial Supervisory Authority in Iceland (Fjármálaeftirlitið). Fyrirvari/Disclaimer: http://www.landsbankinn.is/disclaimer