Re: [Gretl-users] specific lags in arima
On Tue, 25 Jan 2011, Bob McCall wrote:
I'm using gretl 1.9.3 and the dataset chomage.gdt. I tried to
set specific ar lags to 1 4 5 but Gretl added 10 ma terms at
lags 1 thru 10 in addition to the ar terms at lags 1 4 5.
Thanks for the report. You're right, something has gone wrong with
the parsing of ARIMA input when specific AR lags are requested. In
particular, as you say, if you specify d=1 (differencing) in that
context, you instead get a slew of MA lags.
It's the differenced version that's broken: if you specify AR lags
as in
arima {1 4 5} 0 1 ; y
you get the expected results, while
arima {1 4 5} 1 1 ; y
does not work correctly. I'll make a priority of fixing this.
Allin Cottrell