Please see below. 2011/1/10 不提供 不提供 <dear.sam(a)livemail.tw>: > Dear all: > > Allin Cottrell, thank you. > > When I choose the options of Model/Time series/ARIMA/Using X-12-ARIMA to run > the X-12-ARIMA model, > are the explanatory variables such as as number of working days,day of week > effects, length of month etc inclued already?
no. You are using the X12-ARIMA program to estimate the exact same model as you would have estimated in "native-Gretl". A reg-arima model is simply an extension of the arima model in which the disturbances in a regression are ARIMA. X12-ARIMA itself allows one to estimate a reg-arima model. In X12-ARIMA you can include certain predefined variables which are useful in the analysis of season effects. You can also include other explanatory variables. In the X12-ARIMA manual see the definitions of the ARIMA, REGRESSION and ESTIMATE specs for details. As I have already stated you can use the seasonal adjustment routines in Gretl to generate starting specs for X12-ARIMA. This includes the data in a format that is suitable for input to X12-ARIMA. (If the Regression spec is not included in the spec file X12-ARIMA estimates a standard ARIMA model). If you wish to use the pre-defined variables in Gretl you must first generate them before you call the native Gretl routine. If you call the estimation routines from Gretl I presume that Gretl generates the ARIMA REGRESSION and ESTIMATION options in the spec file and passes this to X12-ARIMA. It will not include any of the predefined optional series (trading day, etc.) that are included in X12-ARIMA unless you have generated them in Gretl and included them in your Gretl specification. In your example you have d=1 in the examples that give the same result in both programs. In the bad example you have d=2 and you may have over-differencing. While this is not always a problem it could be lead to some instability in your estimation procedures. I suspect that if you forecast with both models there will probably be little difference in your two forecasts. Again I am not sure what you are trying to do. (seasonal adjustment, forecasting or modeling) If you have access to Eviews you might also try your estimates there. Eviews uses (or used to use) different algorithms and will probably give different answers again. Best Regards John > If they are included automatically, > maybe there should be differences between native-gretl and X-12-ARIMA. > This question still puzzles me? > > Thanks a lot > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj(a)tcd.ie mailto:frainj(a)gmail.com
