[Gretl-users] AR , Movavg commands
Hello:
1) I'd like to know if, there is any way to solve a ols equation with a
MA second order (q=2), in a similar way as to solve with AR p order
(that's running AR command rather than OLS).
Because I've been using eviews as well, I've noticed that just
introducing either AR(p), or MA(q) as one of the "coefficients" into the
equation, you can solve it very easily. I've ran for the AR test in
gretl and it solved it , but how can I solve a MA(q) process in an equation?
Trying to use ARMA command, I've received a Collineality message. I'm
wondering if there is a way to run only a MA command. I don't understand
so far the use of the MOVAVG command (particularly in the aspect that
it's not centered by default) for solving an equation, which involves a
MA(2) process.
2) Just checking the last mail lists, I've figured that running a ADF
test over Eviews more than once, I've got the same different results of
p-values. But then I noticed that the lags (calculated automaticly by
eviews) were different in each cases, so the p-values were also
different. I don't know the reason neither for this automatic
discrimination.
Heaps of Thanks,
Matías
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> 1. ADF result (Charles Ward)
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> ----------------------------------------------------------------------
>
> Message: 1
> Date: Sun, 30 Nov 2008 11:27:58 +0000
> From: "Charles Ward" <cwrward(a)gmail.com>
> Subject: [Gretl-users] ADF result
> To: gretl-users(a)lists.wfu.edu
> Message-ID:
> <bd9aa36b0811300327q5de82b17o13066f8a6298e4ab(a)mail.gmail.com>
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>
> I ran a ADF test in gretl and in R.
>
> (The regression was no constant, LNEG lagged once, d_LNEG lag1 and d_LNEG
> lag2)
> In gretl and R, the results were for most purposes identical for all numbers
> for Z and d_LNEG lag 1
>
> In gretl the results for d_LNEG lag2 were
> coefficient std. error t-ratio p-value
> d_LNEG_2 -0.470623 0.126295 -3.726 0.2006
> But in R the results were
> z.diff.lag2 -0.47062 0.12629 -3.726 0.00053
>
> Which is correct?
>
> Charles W
>