Re: [Gretl-users] ARMAX question
On Fri, 4 Jun 2010, lisa paul wrote:
Could someone explain to me the last bit of the ARMAX output? I
would
think it means that there's a unit root (or explosive), but when I run
an augmented dickey-fuller test, it says no unit root...thanks!
I think you're referring to the 1.1403 in the bottom table. That is the
root of the estimated AR polynomial (1 - 0.876993 L). In order for a
process to be stationary (or, more correctly, stable) the roots of the AR
polynomial must be greater than 1 in absolute value.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
r.lucchetti(a)univpm.it
http://www.econ.univpm.it/lucchetti