Re: [Gretl-users] AR processes
Am 23.02.2019 um 12:56 schrieb Matteo Pelagatti:
It seems like you are comparing the intercept (5.047) with the mean
(8.57):
for ARIMA estimation the right representation is
x_t - 8.57 = 0.45 * (x_{t-1} - 8.57) + e_t
Indeed 5.047 / (1 - 0.414) = 8.61 which is very close to 8.57.
Thanks for pointing this out. I have to say, however, that I understand
the confusion of the original post. The ARIMA output is presented just
like the equation format. The built-in help (click the button "help" in
the ARIMA specification window) also has a representation of the
constant term that looks like the intercept instead of the mean.
Granted, in the (excellent) user guide things are clearer. But perhaps
something should be done about the way the ARIMA results are presented.
Perhaps a stylized equation formulation like it is done with the ADF
test output.
thanks
sven