Ulf Moehring schrieb:
is there any way I can get gretl to give me the classic statistics like
Adj R^2, F or Mean Abs. Err for a time series (ARIMA) model? I can't find
those anywhere in the output...
Well I was waiting for sb else to answer this...
Arima models are already pretty complicated internally and inherently
nonlinear. Therefore I'd say the usual statistics would be only valid
asymptotically, which weakens the case for Adjusted R^2 instead of
regular R^2. Also, for given samples it may not be obvious which formula
is the most adequate. For example gretl usually will report that the
estimated residuals/innovations have a non-zero mean, because the usual
geometry of linear models does not apply and so residuals will not have
exact mean zero. So the usual R^2 formula would not be 100% appropriate
in my view.
Having said that, gretl reports the means and variances of the residuals
and of the dependent variable, so you definitely could quite easily
calculate something once you've decided which formula to use.
And of course, it is possible that reporting some additional statistics
for Arima models would be a good thing for future gretl versions
(properly documented, of course), but right now I don't know if that's true.