Hi all! I'm not sure this is the most appropriate way to ask for
support...but...here are my doubts
I'm estimating AR parameters + a constant with a Cochrane-Orcutt
alghorithm, which is the same used by the AR estimate procedure in gretl.
Unfortunately I get really different values with respect to the
constant, while the coefficients for the lagged variables are almost
equal (and these coefficients are the same as those which result form
the OLS regression of Y over const+lags) . Is it possible that gretl is
not just using the cochrane alghoritm but something more sophisticated?
Or maybe it doesnt'build the regressosr matrix as I do: the constante
vector + the three arrays of lagged variables.
Does any of you have an idea? I spent all the day writing this cochrane
code and I didn't gain any improvement :-((
Thank you
Giovanni