On Mon, 26 Mar 2012, Riccardo (Jack) Lucchetti wrote:
Finally, our algorithm does not include, as probably Eviews'
does, some form
of provision for what to do in the case when the MA polynomial has roots
inside the unit circle
Blast. Unfortunate typo if there ever was one. I meant "your algorithm";
gretl's internal algorithm for arma estimation does handle non-invertible
MA polynomials quite alright.
Sorry.
Riccardo (Jack) Lucchetti
Dipartimento di Economia
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti