I would like to generate AR, MA and ARMA processes. Is there any function available to do so?

Would it be possible to include in the GRETL guide a note on how to generate simple time series? This could be of great help for beginners.

I’ve tried to generate an AR(3) with the following script which doesn’t work. Thank you for your help.



# seed

set seed 89675430

# Generate an AR(3) process


scalar rho1 = 0.5

scalar rho2 = -0.3

scalar rho3 = 0.2


loop 1000


# build stationary AR(3) error process for u

    series u = 0

    series e = normal()

    u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e