On Wed, 23 Jul 2008, John Theal wrote:
EViews and Gretl give comparable (and I am inclined to presume, correct)
results. R on the other hand, has the exogenous regressor with a negative
coefficient. If I use other data I encounter the same problem - agreement
between EViews and Gretl, disagreement with R (for identical data sets). Are
there any known bugs with arima estimation in R?
You can check at
http://bugs.R-project.org/
If I use the Zelig package, I
get the same results as the arima{stats} function call.
...because zelig() is just an interface to arima() for ARIMA models.
If I remove the
exogenous regressor from the estimations then I have agreement between R, Gretl
and EViews, but with the exogenous regressor (basically an ARMAX model) the
estimation results are substantially different.
Log-likelihood, innovation variance and AIC seem to be similar though. It
might be a difference in parametrization between R and gretl/EViews.
Z
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