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Hi,
simple script:
<hansl>
open australia.gdt
arima 2 0 0 ; PAU PUS(-1 to -2) IAU IUS 0 --conditional
</hansl>
Since we have ARIMA(2,0,0) model I would expect PAU_1 and PAU_2
variables but we have phi_1 and phi_2 (from autoregressive polynomial I
suppose). Is this correct?
Regards,
Marcin
--
Marcin Błażejowski
On Fri, 26 May 2017, Marcin Błażejowski wrote:
Hi,
simple script:
<hansl>
open australia.gdt
arima 2 0 0 ; PAU PUS(-1 to -2) IAU IUS 0 --conditional
</hansl>
Since we have ARIMA(2,0,0) model I would expect PAU_1 and PAU_2
variables but we have phi_1 and phi_2 (from autoregressive polynomial I
suppose). Is this correct?
Yes it is.
Also, be sure to keep in mind that, for the other coefficients, the
interpretation is relative to the estimator you use (full ML vs
conditional ML). This is discussed in section 27.2 of the Guide.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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Riccardo (Jack) Lucchetti