Just to clarify my understanding of the generation of fitted values for
levels of Yt
do the estimated coefficients transpose directly into the specified equation
Yt=a1 Yt-1+ b1Xt + d +ut (which begs the question of recovery of d )
or if the GUI difference estimator is the default estimator , are the
fitted values derived through expansion of the differenced form of
the equation with terms collected such that Yt=(1+a1)Yt-1.....etc.?..
*Brian Revell*