Hi send me the data in ascii form ie as a text file.

when I see you using z, I think you are using Shumway's method of expression

which is the reverse of Brockwell's, ie, the plus and minus signs are reversed.

But your constant estimated value is a worry..

----- Original Message -----

Sent: Wednesday, June 20, 2012 7:47 PM

Subject: [Gretl-users] Wrong Coefficient Estimation for ARIMA

I have tried the ARIMA command in GRETL with the attached time series data. The time series is constructed with the below formula ( a- is normal random values):

z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) -0.75*a(t-2);

with the arima command (arima 2 0 2; 1), for order (2,2) , I am getting the below output:

coefficient std. error z p-value

---------------------------------------------------------

const 4.96454 0.0275435 180.2 0.0000 ***

phi_1 −0.447238 0.789760 −0.5663 0.5712

phi_2 −0.0272188 0.390533 −0.06970 0.9444

theta_1 0.751567 0.787981 0.9538 0.3402

theta_2 −0.00643631 0.629626 −0.01022 0.9918

The output is not showing the correct coefficient values for model parameters. I have attached the input data.

Can anyone check the attached dataset and let me know what could be the problem.

Thanks,