Re: [Gretl-users] Estimation of ARIMA
On Fri, 29 Jul 2011, Sam Sam wrote:
I input monthly data from 1980M1 to 1990M12. I set the sample
range from 1980M6 to 1990M12. When I estimate AR(3) model, data
used to estimate the model is 1980M1-1990M12, 1980M6-1980M12,
1980M9-1990M12, or so on?
Exactly what happens here depends on the estimator. When you use
exact ML the Kalman filter can handle pre-sample missing values,
but conditional ML (the --conditional option) cannot. You can see
the effect by running this:
<hansl>
nulldata 132
set seed 2908743
setobs 12 1980:01
series y = normal()
smpl 1980:06 1990:12
arima 3 0 0 ; y # exact ML
arima 3 0 0 ; y --conditional
y[1980:03] = NA
arima 3 0 0 ; y # exact ML
arima 3 0 0 ; y --conditional
</hansl>
Despite making the y observation for 1980:03 into NA, the estimation
range for exact ML still starts in 1980:06. But the start of
estimation in conditional mode is pushed to 1980:07 by the missing
data.
Allin Cottrell