On Wed, 27 Oct 2010, [iso-8859-1] Gústaf Steingrímsson wrote: Please see the discussion in the Gretl User's Guide, The "Time series models" chapter, around equations (21.4) and (21.5) in particular. There are various ways of formulating AR(I)MA models, and you have to be aware which one gretl is using. If you're using exact ML, then in the equation you give above, you'll need to replace c with c*(1-phi). That should give you something very close to what gretl computes automatically, if not identical. There may also be a difference in the treatment of initial values; I'll have to look into that. Allin Cottrell