[Gretl-devel] arima: non-stdx estimation and z-statistics

Dear Allin, The situation below is by far not exotic <hansl> open greene5_1.gdt series g = 100*diff(realgdp)/realgdp series d_u = diff(unemp) x = g list zz = 0 x(0 to -2) eval mean(g) # simply Okun's law with lags # with correction for autocorrelation arima 0 1; d_u const x x_1 x_2 -q zstat0 = $coeff./$stderr arima 0 1; d_u const x x_1 x_2 -q --stdx zstat0s = $coeff./$stderr eval zstat0./zstat0s # recall 100*diff(realgdp)/realgdp x = g/100 list zz = 0 x(0 to -2) eval mean(g) arima 0 1; d_u const x x_1 x_2 -q zstat0 = $coeff./$stderr arima 0 1; d_u const x x_1 x_2 --stdx -q zstat0s = $coeff./$stderr eval zstat0./zstat0s-1 # this is equivalent of rescaling someting # from dollars to thousands of dollars x = g/1000 list zz = 0 x(0 to -2) eval mean(g) arima 0 1; d_u const x x_1 x_2 -q zstat0 = $coeff./$stderr arima 0 1; d_u const x x_1 x_2 --stdx -q zstat0s = $coeff./$stderr eval zstat0./zstat0s-1 # if a model is misspecified # we can observe small but # non-neglectable difference # even doing trvial data rescaling x = g/100 list zz = 0 x(0 to -3) eval mean(g) arima 3 1; d_u zz  -q zstat0 = $coeff./$stderr arima 3 1; d_u zz --stdx -q zstat0s = $coeff./$stderr eval zstat0./zstat0s-1 <hansl> Oleh