#108 X-12-ARIMA leading to wrong results

closed-accepted
5
2009-07-16
2009-06-22
Greg K
No

Running X-12, I got a strange result, and I'm not sure why. There was no error message, although one does appear when I ask gretl to display a graph while performing the seasonal adjustment.

Attached is the gretl file in question. A quick time-series plot of the unadjusted and adjusted data shows the problem with the output.

Thanks for the help.

Discussion

  • Greg K
    Greg K
    2009-06-22

    Pertinent gretl file

     
  • Greg K
    Greg K
    2009-06-22

    • priority: 5 --> 6
     
  • Greg K
    Greg K
    2009-06-22

    sorry; gretl 1.8.1 running on windows xp

     
  • Allin Cottrell
    Allin Cottrell
    2009-06-22

    • priority: 6 --> 5
    • status: open --> open-accepted
     
  • Allin Cottrell
    Allin Cottrell
    2009-06-22

    This appears to be an X-12-ARIMA bug. The message is:
    "ERROR: Estimation failed to converge during the automatic
    model identification procedure."
    (If you use the current gretl snapshot you'll see that displayed.)

    I checked and both TRAMO/SEATS and the older version of
    X-12-ARIMA (0.2.10) produced results for your 'Hag' series.

     
  • Allin Cottrell
    Allin Cottrell
    2009-07-16

    • status: open-accepted --> closed-accepted