Re: [Gretl-devel] ARIMA news
On Thu, 15 Oct 2009, Sven Schreiber wrote:
Allin Cottrell schrieb:
>
> Model C:
>
> \phi(L) ((1-L) y_t - X_t\beta) = \theta(L) \epsilon_t
>
> Model D:
>
> \phi(L) (1-L) (y_t - X_t\beta) = \theta(L) \epsilon_t
>
> In practical terms the issue between C and D is, given that we're
> differencing y_t, do we also difference X_t? (No = C, Yes = D.)
>
> Up till now we have been doing C, and there's nothing inherently
> wrong with that, but for the sake of compatibility with most other
> ARIMA software we should be doing D. And in current CVS we do D,
> unless the new option -y (or --y-diff-only) is given in
> conjunction with the arima command, in which case C is restored.
I haven't used this setup myself, so my opinion isn't strong on this.
Having said that, in principle I like C better...
The argument you give makes sense to me. If we're in a position
to support both C and D, any further thoughts on which should be
the default? (I should add a switch to the GUI for ARIMA in
either case.)
Allin.