Re: [Gretl-users] AR(I)MA on hourly data
On Wed, 22 Jul 2009, Oliver Heering wrote:
i'd like to fit an ARMA or ARIMA model to hourly timeseries data.
As i
see monthly or quarterly timeseries in examples most of the time, some
questions arise:
My data summary:
Type of data: time series
Frequency: hourly
Range: 1:01 - 3325:24 (n = 79800) <- yes, a lot i assume?
- is there any possibility to use special labels for my values? I
imported the timeseries from CSV files which had a timestamp for each
value. gretl extracted these strings and stored them in
string_table.txt. How can i use these strings for example in plots?
Having only 3456:23 as label isn't much of a help, "2006-04-02
15:00:00" would be much better. What is the string_table.txt for?
Haven't found any clue in the docs.
Hello Oliver,
The string table is really meant for string variables, such as are
found in some datasets, rather than for observation identifiers.
(There's a short discussion in cjapter 4 of the User's Guide,
section "Common points on imported data".)
If your CSV file contains timestamps you could add them as "case
markers": /Data/Add case markers. However this won't work at
present to encode something like "2006-04-02 15:00:00", even if
you dropped the redundant trailing ":00:00", since gretl displays
only 8 characters of such markers. That's probably something we
should revisit.
- I know about X-12-ARIMA and TRAMO/SEATS integration and i also
know
about their limitation of about 720/600 values. Is it true that both
programs only work for monthly timeseries?
Quarterly is OK too. I'm pretty sure the programs can handle
ARIMA on daily data, but gretl is not set up to pass them the
right commands to do so. Again maybe something to revisit.
- why can't i compact my data with gretl? hourly -> daily
-> weekly ->
monthly... even daily data cannot be compacted AFAIR.
hourly -> daily would be easy, and daily -> monthly also, provided
we had correct calendar dates for the daily data. There hasn't
been any demand for this to date, but it's something we could add.
Weeks are a mess to handle.
- a general question: can i resize the plots that gretl produces
(aspect-ratio changes for example)? or do i have to: 1. save the plot
as icon 2. copy over the plot commands to gnuplot 3. edit size of
plot manually by issuing "set term ..." (i want to store the plot as
file)
No, gretl doesn't support resizing the plots it produces, you'd
have to do that via gnuplot commands.
Allin Cottrell