[R] Time series reliability questions

[Achim Zeileis]

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