Re: [Gretl-users] Dickey Fuller
On Tue, 18 Jan 2005, jack wrote:
On Tue, 18 Jan 2005, ibert wrote:
> By the way: it's a new nice feature that the AR / MA lags of the
> Dickey Fuller Test are now possible with more than 4, but it's
> not possible to set an lag order higher than 4 in the ARMA model
> - WHY?
This was originally done because we weren't so sure of the
convergence properties of the algorithm we have (which isn't
particularly sophisticated, nor fine-tuned fr ARMA models): if you
want higher ARMA orders, you can download the source form CVS and
apply the following patch (which sets the maximum to 6), but
beware: it is VERY unusual to need ARMA models of order higher
than (4,4) to model a series satisfactorily...
I've applied Jack's patch to the gretl CVS sources, and the
modification will be in gretl 1.3.1, which should probably be
available tomorrow.
But I would echo Jack's caveat: the point of having both AR and MA
in ARMA is to permit the parsimonious modeling of time-series
processes. With a pure AR one might need many lags, but with ARMA
it's very unlikely that orders > 4 are required. Recall that MA(1)
is equivalent to infinite order AR.
Allin Cottrell