Hi,

I have tried the ARIMA command in GRETL with the attached time series data. The time series is constructed with the below formula ( a- is normal random  values):

    z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) -0.75*a(t-2);        

with the arima command (arima 2 0 2; 1), for order (2,2) , I am getting the below output:

             coefficient   std. error       z       p-value

  ---------------------------------------------------------

  const       4.96454      0.0275435    180.2       0.0000  ***

  phi_1      −0.447238     0.789760      −0.5663    0.5712 

  phi_2      −0.0272188    0.390533      −0.06970   0.9444 

  theta_1     0.751567     0.787981       0.9538    0.3402 

  theta_2    −0.00643631   0.629626      −0.01022   0.9918