[Gretl-users] AR(3)

Wednesday, 27 February 2019

Hello

I've simulated an AR(3) process: Xt = 5 + 0.4Xt-1 - 0.1Xt-2 + 0.6Xt-3  + Ut

The PACF gives me only for lag 1 a statistically significant value.

Shouldn't I get for the first three lags statistically significant values?

If the PACF doesn't help me to determine the order of the AR process how
should I proceed to estimate the process order with gretl?

Thanks

Raul