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
