Hi and thanks for your reply Maybe I was unclear about my problem. I was using standard non-seasonal ARIMA(1,1,1) model which should be on the form: Y^(t) = c + Y(t-1) + Phi*(Y(t-1)-Y(t-2)) + theta*e(t-1) I got parameters from Gretl for c, Phi and theta. I also got time series for Y(t) and Y^(t) for many values of t's. I assumed that e(t-1) = Y(t) - Y^(t-1) in order to caluculate on compare values of Y^(t) that the model got and what I should get on the spreadsheet. The values didnt match at all. There seemed to be no systemic explanation for the difference between Y^(t) that the model got and what I got. It seemed to be purely random. I did this several times for various time series. Best regards Gustaf -----Original Message----- From: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] On Behalf Of gretl-users-request(a)lists.wfu.edu Sent: 27. október 2010 16:00 To: gretl-users(a)lists.wfu.edu Subject: Gretl-users Digest, Vol 45, Issue 27 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: Simple ARIMA problem (Dr. Ioannis A. Venetis) 2. Re: HP-filter problem (Giuseppe) 3. Re: From daily to monthly or quaterly data... (Giuseppe) 4. Re: HP-filter problem (Eloy A. Fisher Hogan) ---------------------------------------------------------------------- Message: 1 Date: Wed, 27 Oct 2010 10:16:46 +0300 From: "Dr. Ioannis A. Venetis" <ivenetis(a)upatras.gr&gt; Subject: Re: [Gretl-users] Simple ARIMA problem To: <gretl-users(a)lists.wfu.edu&gt; Message-ID: <F05A67EE71254F6C91B00A50B2CB7888@ivenetis> Content-Type: text/plain; charset="iso-8859-7" Dear Gustaf and Richard, I guess part of the problem is the estimation method. GRETL offers Exact maximum likelihood estimation (exact MLE) and conditional MLE for ARIMA models. Only the second is equivalent to OLS. Exact and conditional ML parameter estimates will "tend" to coincide only in "large" samples. If you try OLS in another software and conditional MLE in GRETL you should get the same parameter estimates and hence the same forecasts. With respect to the spreadsheet experiment I cannot be sure what the problem was? Are you 100% certain that you entered lags and lagged estimated prediction errors appropriately in the spreadsheet? Hope I helped a bit. Yiannis ******************************************************* ******************************************************* Dr Ioannis A. Venetis Assistant Professor University of Patras Department of Economic Sciences University Campus, Rio, 26504, Greece Tel: +30 2610 969 964 ******************************************************* ??????? ?. ??????? ????????? ????????? ???????????? ?????? ????? ??????????? ????????? ?????????????????, ???, 26504 ???: 2610 969 964 ******************************************************* ******************************************************* -----?????? ??????----- ???: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] ?? ?????? ??? gretl-users-request(a)lists.wfu.edu ????????: Wednesday, October 27, 2010 9:04 AM ????: gretl-users(a)lists.wfu.edu ????: Gretl-users Digest, Vol 45, Issue 26 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. Re: HP-filter problem (Eloy A. Fisher Hogan) 2. Re: HP-filter problem (Allin Cottrell) 3. Simple ARIMA problem (G?staf Steingr?msson) 4. From daily to monthly or quaterly data... (Giuseppe Vittucci) 5. Re: From daily to monthly or quaterly data... (Allin Cottrell) 6. Re: Simple ARIMA problem (Dr RJF Hudson) ---------------------------------------------------------------------- Message: 1 Date: Wed, 27 Oct 2010 00:12:04 +0000 From: "Eloy A. Fisher Hogan" <eloyfisher(a)hotmail.com&gt; Subject: Re: [Gretl-users] HP-filter problem To: <gretl-users(a)lists.wfu.edu&gt; Message-ID: <BLU111-W20553C09510BDB930E4D2FD3430(a)phx.gbl&gt; Content-Type: text/plain; charset="iso-8859-1" Allin, I think I have the latest GRETL for Linux from the Ubuntu repositories - or is it? Gretl 1.8.7 2010-02-04 Thanks Allin! EF PS. Btw, GRETL is great!