My 2 bob's worth is to agree with AC (for what
its worth)
Puter algorithms struggle when seeking
mini differences tween local and global, min or max
values
when surfaces are pretty flat.
Is this any help
----- Original Message -----
Sent: Monday, January 10, 2011 2:35
PM
Subject: Re: [Gretl-users] Some questions
about X-12-ARIMA
On Mon, 10 Jan 2011, [big5] wrote:
> In a
word, why are the most outcomes of seasonal ARIMA and
> X-12-ARIMA
almost the same(ex:ARIMA(1,1,1)(1,1,0) and
> X-12-ARIMA(1,1,1)(1,1,0),
ARIMA(2,1,1)(0,1,2) and
> X-12-ARIMA(2,1,1)(0,1,2)). Their general
equations are
> different. Shouldn't their outcomes be
different?
What makes you think the results should be different? In
your
examples you are estimating the same seasonal ARIMA model using
the
same method (conditional ML) (a) via gretl itself and (b)
via
X-12-ARIMA.
There are differences between native-gretl and
X-12-ARIMA
(explained in section 22.2 of the Gretl User's Guide) but if
the
model does not contain a constant or any exogenous variables
these
differences will not be apparent. (Of course, differences
may
emerge if the likelihood-maximization is particularly difficult
and
one or other of the programs fails to find the maximum.)
Allin
Cottrell
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