Re: [Gretl-users] ARMAX problem
On Wed, 11 Aug 2010, [windows-1251] ��������� ���������� wrote:
I am using GRETL 1.8.7 for modeling dynamic econometric models. And
there is one problem that i can't make with it.
I don't know precisely how a model ARMAX is computed.
That's explained in Chapter 20 of the Gretl User's Guide
(available under the Help menu), on "Times series models".
I use Model->Time Series->ARIMA for this set of data
Dependant variable: i_osn_sred
Independent variable: time
AR Order: 1
Difference: 0
MA order: 0
No seasonal data
Also i include a constant and check the box "Parameter covariance matrix
via Hessian".
The method is "Exact Maximum Likelyhood".
After the operations been completed I have a set of coefficients:
const 332395
phi_1 0.760190
time -7065.29
But i don't know precisely how a final equation looks like? Is this
right or not: y(t) = const + 0.76*y(t-1)-7064.29*t?
Yes, that's right.
Can I make myself a forecast using this equation?
Yes. Under the Analysis menu in the model window.
Allin Cottrell