Hello

I simulated the following AR(1) process x_t = 5 + 0.4x_t-1 + e  with  e = N(0,1)   200 observations

Estimation with OLS: x_t = 5.047x_t + 0.414x_t-1

Estimation with gretl ARIMA: x_t = 8.57 + 0.43x_t-1

I simulated this AR(2) process: x_t = 5 + 0.4x_t-1 -0.1x_t-2 + e

OLS estimation: x_t = 4.64 + 0.377x t-1 -0.0075 x t-2

ARIMA estimation: x_t  = 7.36 + 0.369x_t-1 -0.0076x_t-2

Why is gretl giving such a bad estimation compared to OLS-estimation?

Thank you

Raul