Re: [Gretl-users] Gretl-users Digest, Vol 145, Issue 26
Thank you for the answers!
Would it be possible to improve the manual to explain how to retrieve the
constant from the ARIMA estimation?
I am still struggling to get a simple AR estimation with the gretl menu.
The help does not help me further.
AR(1) process x(t) = 5 + 0.4x(t-1) + e with e ~N(0,1)
I've been using the new time series x* = x-mean = x-8.36 for the
estimation, with unconditional mean = 8.36
I am using the gretl menu Model/Times Series for the estimation (no script)
Estimation without a constant: phi_1 = 0.408
Estimation with a constant: const = -0.0135 and phi_1 = 0.4
Why is it not possible to get directly the estimated value for the constant
(5) in the estimation output?
How can I retrieve the estimated constant?
When should I use the option "include a constant"?
There is the possibility to use "specific lags" in the menu. When should I
use it?
When estimating an AR(2) I get :
phi_1 = 0.43 and phi_2 = -0.056
How do I know that the estimated AR(2) is not better than the estimated
AR(1)?
Thank you for your help
Raul
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Betreff: Gretl-users Digest, Vol 145, Issue 26
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Today's Topics:
1. AR processes (Raul Gimeno)
2. Re: AR processes (Riccardo (Jack) Lucchetti)
3. Re: AR processes (Matteo Pelagatti)
4. Re: AR processes (Sven Schreiber)
----------------------------------------------------------------------
Message: 1
Date: Sat, 23 Feb 2019 10:48:45 +0100
From: "Raul Gimeno" <mrexito(a)vtxmail.ch>
To: <gretl-users(a)lists.wfu.edu>
Subject: [Gretl-users] AR processes
Message-ID: <003001d4cb5c$f847ecc0$e8d7c640$(a)vtxmail.ch>
Content-Type: text/plain; charset="us-ascii"
Hello
I simulated the following AR(1) process xt = 5 + 0.4xt-1 + e with e =
N(0,1) 200 observations
Estimation with OLS: xt = 5.047xt + 0.414xt-1
Estimation with gretl ARIMA: xt = 8.57 + 0.43xt-1
I simulated this AR(2) process: xt = 5 + 0.4xt-1 -0.1xt-2 + e
OLS estimation: xt = 4.64 + 0.377x t-1 -0.0075 x t-2
ARIMA estimation: xt = 7.36 + 0.369xt-1 -0.0076xt-2
Why is gretl giving such a bad estimation compared to OLS-estimation?
Thank you
Raul