My 2 bob's worth is to agree with AC (for what its worth)
Puter algorithms struggle when seeking mini differences tween local and global, min or
max values
when surfaces are pretty flat.
Is this any help
Dr RJF Hudson Qld Australia
rjfhud(a)powerup.com.au
----- Original Message -----
From: Allin Cottrell
To: Gretl list
Sent: Monday, January 10, 2011 2:35 PM
Subject: Re: [Gretl-users] Some questions about X-12-ARIMA
On Mon, 10 Jan 2011, [big5] wrote:
In a word, why are the most outcomes of seasonal ARIMA and
X-12-ARIMA almost the same(ex:ARIMA(1,1,1)(1,1,0) and
X-12-ARIMA(1,1,1)(1,1,0), ARIMA(2,1,1)(0,1,2) and
X-12-ARIMA(2,1,1)(0,1,2)). Their general equations are
different. Shouldn't their outcomes be different?
What makes you think the results should be different? In your
examples you are estimating the same seasonal ARIMA model using
the same method (conditional ML) (a) via gretl itself and (b) via
X-12-ARIMA.
There are differences between native-gretl and X-12-ARIMA
(explained in section 22.2 of the Gretl User's Guide) but if the
model does not contain a constant or any exogenous variables these
differences will not be apparent. (Of course, differences may
emerge if the likelihood-maximization is particularly difficult
and one or other of the programs fails to find the maximum.)
Allin Cottrell
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