Re: [Gretl-users] Arima with exogenous variables.
On Mon, 3 May 2010, John C Frain wrote:
According to the users guide (see equation 20,8 on page 147 of the
May
2010 version) the instruction
arima 0 1 1 ; 0 1 1 ; ln_vols ln_vol_exm_s ln_price ban_e const
should produce the same results as
arima 0 0 1 ; 0 0 1 ; d_sd_ln_vols d_sd_ln_vol_e d_sd_ln_price d_sd_ban_e
I am presuming that the constant is differenced along with the other x
variables.
It isn't. That would just give you zero, and hence doesn't seem
like something the user would want. The following should be
equivalent, for X a list of regressors not including the constant:
arima p 1 q ; y X
arma p 0 q ; d_y d_X
In other words, if you want arima without a constant, then don't
specify a constant, rather than specifying one and expecting gretl
to destroy it for you. Perhaps the manual should be clarified on
this point.
Allin Cottrell