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 ******************************************************* Ιωάννης Α. Βενέτης Επίκουρος Καθηγητής Πανεπιστήμιο Πατρών Τμήμα Οικονομικών Επιστημών Πανεπιστημιούπολη, Ρίο, 26504 Τηλ: 2610 969 964 ******************************************************* ******************************************************* -----Αρχικό μήνυμα----- Από: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] εκ μέρους του gretl-users-request(a)lists.wfu.edu Αποστολή: Wednesday, October 27, 2010 9:04 AM Προς: gretl-users(a)lists.wfu.edu Θέμα: 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!