Re: [Gretl-users] Single ARIMA Command with Seasonal Differences
On Sun, 17 Feb 2008, Tom La Bone wrote:
I have some quarterly data U1 (variable 1) I would like to model the
data as
an ARIMA process. I take the first difference of U1 to create d_U1 (variable
3) and then take the first difference of d_U1 to create d_d_U1 (variable 4).
Finally, I take the seasonal difference to create sd_d_d_U1 (variable 5) and
try an ARIMA(0,0,1) model. The Gretl commands are:
diff U1
diff d_U1
sdiff d_d_U1
arima 0 0 1 ; 5
On small point here: you can avoid "d_ pile-up" by nesting these
functions:
genr Dy = sdiff(diff(diff(y)))
I would like to do all of this in one command. I have tried a number of
different commands looking something like
arima 0 2 1 ; 0 1 0 ; 1
but have been unable to get the same answers as I did doing the evaluation
step-by-step.
You're right, the second command above ought to produce the same
results as the first, with the pre-differenced variable.
You have exposed a bug in the arima auto-differencing code, for
the case d > 1 and D > 0. This is now fixed in CVS and in
the current Windows snapshot, at
http://ricardo.ecn.wfu.edu/pub/gretl/gretl_install.exe
Allin Cottrell