While trying to work with ARIMA(1,1,1) in Gretl I got into problems. The problem is that having set upp the numbers (values, prediction and errors that was produced by Gretl) in spreadsheet and using the parameters that I got I couldnt get the same forecast number as Gretl got. I used just this simple formula to calculate the forecast:

That is why I ask: Is this formula differently in ARIMA(1,1,1) as it is calculated by Gretl and how is that?

I also tried to use OLS on a time series y(t) which had been differenced one time (d(1)) and the explanatory variable was y(t-1) and got a different parameters result than using ARIMA(1,1,0) which I shouldn‘t or what?

I would be very thankful for useful replies.

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

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).