Re: [Gretl-users] small conflict in multiplicative ARMA
On Thu, February 16, 2006 19:16, Allin Cottrell wrote:
On Thu, 16 Feb 2006, Riccardo Jack Lucchetti wrote:
> I think that, with gretl as-is, the seasonal AR operator just
> sticks the s-lagged dependent variable into the conditional mean
> specification, which of course is not right from [Ignacio's]
> viewpoint.
Yes, I can confirm that is the current state of things. Looks like
this needs some work.
Allin.
Ignacio, you're 100% right. Allin, I have a couple of ideas on how to modify
the code. Before I start, though, I'd like to ask everybody if they would
object to having seasonal AR/MA parts like an "on/off switch" rather than
specifying an order. That would make for much cleaner code; we wouldn't have
the option of a seasonal stucture like (1 - \Phi_1 L^s - \Phi_2 L^{2s}). It
can be done, but the code would come out much uglier (unless Allin has a
brilliant programming solution --- not unlikely).
--
Riccardo "Jack" Lucchetti
Dipartimento di Economia
Facoltà di Economia "G. Fuà"
Ancona