gretl version 2017b-git Current session: 2017-09-07 10:32 ? open phillips_aus.gdt # poe-4 Read datafile /home/oleh/.gretl/data/POE4/phillips_aus.gdt periodicity: 4, maxobs: 91 observations range: 1987:1 to 2009:3 Listing 3 variables: 0) const 1) inf 2) u ? function void trytry(series y, list xlist[null]) > arma 1 1; y xlist > arma 1 1; y xlist > end function ? list x = 0 diff(u) Generated list x ? trytry(inf,x) Function evaluations: 51 Evaluations of gradient: 17 ARMAX, using observations 1987:2-2009:3 (T = 90) Estimated using Kalman filter (exact ML) Dependent variable: y Standard errors based on Hessian coefficient std. error z p-value ------------------------------------------------------- const 0.839953 0.223287 3.762 0.0002 *** phi_1 0.907436 0.0628997 14.43 3.51e-47 *** theta_1 −0.567130 0.119891 −4.730 2.24e-06 *** d_u −0.764820 0.229142 −3.338 0.0008 *** Mean dependent var 0.791111 S.D. dependent var 0.636819 Mean of innovations −0.018008 S.D. of innovations 0.483088 Log-likelihood −62.56261 Akaike criterion 135.1252 Schwarz criterion 147.6243 Hannan-Quinn 140.1656 Real Imaginary Modulus Frequency ----------------------------------------------------------- AR Root 1 1.1020 0.0000 1.1020 0.0000 MA Root 1 1.7633 0.0000 1.7633 0.0000 ----------------------------------------------------------- Function evaluations: 47 Evaluations of gradient: 17 ARMAX, using observations 1987:2-2009:3 (T = 90) Estimated using Kalman filter (exact ML) Dependent variable: y Standard errors based on Hessian coefficient std. error z p-value ------------------------------------------------------- const 0.839953 0.223280 3.762 0.0002 *** phi_1 0.907436 0.0628994 14.43 3.51e-47 *** theta_1 −0.567130 0.119891 −4.730 2.24e-06 *** d_u −0.764820 0.229140 −3.338 0.0008 *** Mean dependent var 0.791111 S.D. dependent var 0.636819 Mean of innovations −0.018008 S.D. of innovations 0.483088 Log-likelihood −62.56261 Akaike criterion 135.1252 Schwarz criterion 147.6243 Hannan-Quinn 140.1656 Real Imaginary Modulus Frequency ----------------------------------------------------------- AR Root 1 1.1020 0.0000 1.1020 0.0000 MA Root 1 1.7633 0.0000 1.7633 0.0000 ----------------------------------------------------------- #include lagreg.gfn ? auto_arma(inf,x) Best aic model: SARMAX(1,1;0,0) Test for autocorrelation up to order 4 Ljung-Box Q' = 0.772747, with p-value = P(Chi-square(2) > 0.772747) = 0.6795 Best bic model: SARMAX(1,1;0,0) Test for autocorrelation up to order 4 Ljung-Box Q' = 0.772747, with p-value = P(Chi-square(2) > 0.772747) = 0.6795 Best hqc model: SARMAX(1,1;0,0) Best aicc model: SARMAX(1,1;0,0) ? auto_arma(inf,x,2,0) Best aic model: ARMAX(1,1) Test for autocorrelation up to order 4 Ljung-Box Q' = 0.772747, with p-value = P(Chi-square(2) > 0.772747) = 0.6795 Best bic model: ARMAX(1,1) Best hqc model: ARMAX(1,1) Best hqc model: ARMAX(1,1) # 2017b-git 2017-04-24