Re: [Gretl-users] ARIMA(0,0,1)(0,0,1) forecasts
On Fri, 4 Mar 2011, & $ wrote:
I'm having trouble understanding the way that Gretl computes
forecasts for ARIMA(0,0,1)(0,0,1) models. If I generate a random
data set and fit this model (using either algorithm) to get the
estimates theta_1 and Theta_1, and then generate a forecast,
then I would expect the forecast to be computed using the
polynomial
1 + theta_1*L + Theta_1*L^4 + theta_1*Theta_1*L^5
[... But] after a little experimenting, I have found that if I
use the polynomial
1 + theta_1*L + Theta_1*L^4 - theta_1*Theta_1*L^5
I get exactly the same forecast as Gretl.
There seems to be something wrong with out-of-sample forecasts for
seasonal MA models, you're right. I'll report back once I've
figured out what's happening here.
Allin Cottrell