Re: [Gretl-devel] ARMAX and diffs
On Tue, 6 May 2008, Ignacio Diaz-Emparanza wrote:
I was trying to estimate an ARIMA model with a intervention (a
level shift)... and found what I think is an inconsistency in
the treatment of the explanatory variable.
Could you, Allin or Jack, please correct this behaviour?
Thanks, Ignacio. I think I'm going to wait for Jack's reaction
on this point rather than jumping in myself. But just to check my
understanding: your point is that in an ARIMA model any exogenous
variables should be subject to the same differencing that is
applied to y(t)?
Allin.