On Thu, 4 Jul 2013, Thomas Wagner Castillo wrote:
Hi,I've been using gretl for different kinds of models and I
have a question about the ARIMA models. I use the graphic
interface and not the console, because I haven't had time to
learn the commands. After calculating the models with
several lags on the dependent variable I attempted to use
the parameters to replicate the fitted values using Excel.
My question is how the fitted values are calculated, because
I don't know how the first values are calculated, since
there is no data for the lagged variable.
The fitted values, $yhat, are calculated as the actual values
minus the one-step ahead forecast errors, $uhat, as calculated
via the Kalman filter (for exact ML). There's no data for the
lagged variable at first, but these unknown values are in
effect part of what is estimated via Kalman in deriving the
MLE.
Thank you for your help and for this great program.
Glad you like it.
Allin Cottrell