[Gretl-users] seasonal ARMA again

Thanks to Ignacio for noting some problems in this regard. I now realize, however, that I was wrong to say that gretl's ARMA code is not set up to handle the multiplicative relationship between the non-seasonal and seasonal components. Pardon the double negative -- to put it positively, gretl's ARMA code _is_ in fact already set up to handle the multiplicative relationship, but it had some bugs, which I have now tried to fix. Tomorrow (Feb 17) I will make both a new Windows snapshot and a new gtk2 rpm snapshot. I would very much appreciate if people with more expertise in this area than myself could do some testing. For reference, I'm including a script that I've used for basic testing here. It generates an artificial series that follows a known ARMA (1,1)(1,1)s process then uses both the gretl native and X-12-ARIMA ARMA routines to try to retrieve the parameters. If I'm misunderstanding how this ought to work, that should be apparent from the script! # Seasonal ARMA test script nulldata 1200 setobs 12 1920:01 scalar phi_1 = 0.5 scalar Phi_1 = 0.1 scalar theta_1 = 0.2 scalar Theta_1 = 0.2 genr eps = normal() # Artificial error process genr u = eps + theta_1*eps(-1) + Theta_1*eps(-12) \ + theta_1*Theta_1*eps(-13) series y = 0 # Artificial seasonal series genr y = 500 + phi_1*y(-1) + Phi_1*y(-12) \ - phi_1*Phi_1*y(-13) + u # Estimate using native ARMA code arma 1 1 ; 1 1 ; y # Compare X-12-ARIMA estimates -- but note that X-12-ARIMA # can only handle 720 observations, so we truncate the data smpl +500 ; arma 1 1 ; 1 1 ; y --x-12-arima Allin Cottrell