Re: [Gretl-users] ARIMA forecast (very) strange behavior
On Tue, 30 Sep 2014, henrique.andrade(a)bb.com.br wrote:
Dear Gretl Team,
Please take a look at the following (very simple) script:
<hansl>
open "Exemplo.gdt"
smpl 2004:10 2011:10
arima 0 0 1 ; 1 0 0 ; ipc_dive_m --x-12-arima
fcast 2011:11 2011:11
<hansl>
It gives me infinite values for the sum of squared residuals and a very
strange behaviour of the forecasted value (9,87378e+307). The ipc_dive_m is
an inflation measure from Brazil.
Confirmed here. The strange numbers are obviously the result of an
NA value getting involved in the calculations where this was not
expected and therefore not handled properly. The next question is
how/why did the NA value arise?
As Hélio has remarked, this doesn't happen when the model is
estimated via gretl's native arima functionality. So it's something
to do with our interface with X-12-ARIMA (or X13-ARIMA-SEATS). I'm
working on it.
Allin Cottrell