Re: [Gretl-users] AR processes
It seems like you are comparing the intercept (5.047) with the mean (8.57):
for ARIMA estimation the right representation is
x_t - 8.57 = 0.45 * (x_{t-1} - 8.57) + e_t
Indeed 5.047 / (1 - 0.414) = 8.61 which is very close to 8.57.
Best,
Matteo
Il 23/02/2019 10:48, Raul Gimeno ha scritto:
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
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
--
Matteo Pelagatti
Department of Economics, Management and Statistics
University of Milano-Bicocca
Via Bicocca degli Arcimboldi, 8
20126 Milano
Tel +39 02 6448.5834
Attachments:
- attachment.html (text/html — 4.7 KB)