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 _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users