Thanks to all for the replies. Will try to find TRAMO. meanwhile, the
armax-auto option occasionally generates this error:

? armax(4, 4, BOTH, null, 1, 1, 0, 1, 0)
BFGS: initial value of objective function is not finite
*** error in function armax, line 82
> loop q = 0..maxq

On Sat, Apr 26, 2014 at 4:46 PM, Riccardo (Jack) Lucchetti
<r.lucchetti@univpm.it> wrote:
> On Sat, 26 Apr 2014, oleg_komashko@ukr.net wrote:
>
>> You can use armax_auto (see time series menu in Gretl GUI). The function
>> has a drawback: the cycle crushes on encountering a unit root in MA part of
>> the model Also you can use auto.arima{forecast} in R My experience tells it
>> would be better to determine the order of integration (use unit root tests)
>> beforehand and use, say "d=1" in auto.arima (type ?auto.arima in R console)
>
>
> That's a function package, you may need to install it first: go to
> Files>Function Files>On server.
>
> -------------------------------------------------------
>   Riccardo (Jack) Lucchetti
>   Dipartimento di Scienze Economiche e Sociali (DiSES)
>
>   Università Politecnica delle Marche
>   (formerly known as Università di Ancona)
>
>   r.lucchetti@univpm.it
>   http://www2.econ.univpm.it/servizi/hpp/lucchetti
> -------------------------------------------------------
> _______________________________________________
> Gretl-users mailing list
> Gretl-users@lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users

-- 
Best regards,
Timothy M. Nall
Assistant Professor
National Quemoy University
Kinmen, Taiwan

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