Thank you for the answers! Would it be possible to improve the manual to explain how to retrieve the constant from the ARIMA estimation? I am still struggling to get a simple AR estimation with the gretl menu. The help does not help me further. AR(1) process x(t) = 5 + 0.4x(t-1) + e with e ~N(0,1) I've been using the new time series x* = x-mean = x-8.36 for the estimation, with unconditional mean = 8.36 I am using the gretl menu Model/Times Series for the estimation (no script) Estimation without a constant: phi_1 = 0.408 Estimation with a constant: const = -0.0135 and phi_1 = 0.4 Why is it not possible to get directly the estimated value for the constant (5) in the estimation output? How can I retrieve the estimated constant? When should I use the option "include a constant"? There is the possibility to use "specific lags" in the menu. When should I use it? When estimating an AR(2) I get : phi_1 = 0.43 and phi_2 = -0.056 How do I know that the estimated AR(2) is not better than the estimated AR(1)? Thank you for your help Raul -----Ursprüngliche Nachricht----- Von: gretl-users-bounces(a)lists.wfu.edu [mailto:gretl-users-bounces@lists.wfu.edu] Im Auftrag von gretl-users-request(a)lists.wfu.edu Gesendet: Samstag, 23. Februar 2019 14:31 An: gretl-users(a)lists.wfu.edu Betreff: Gretl-users Digest, Vol 145, Issue 26 Send Gretl-users mailing list submissions to gretl-users(a)lists.wfu.edu To subscribe or unsubscribe via the World Wide Web, visit http://lists.wfu.edu/mailman/listinfo/gretl-users or, via email, send a message with subject or body 'help' to gretl-users-request(a)lists.wfu.edu You can reach the person managing the list at gretl-users-owner(a)lists.wfu.edu When replying, please edit your Subject line so it is more specific than "Re: Contents of Gretl-users digest..." Today's Topics: 1. AR processes (Raul Gimeno) 2. Re: AR processes (Riccardo (Jack) Lucchetti) 3. Re: AR processes (Matteo Pelagatti) 4. Re: AR processes (Sven Schreiber) ---------------------------------------------------------------------- Message: 1 Date: Sat, 23 Feb 2019 10:48:45 +0100 From: "Raul Gimeno" <mrexito(a)vtxmail.ch&gt; To: <gretl-users(a)lists.wfu.edu&gt; Subject: [Gretl-users] AR processes Message-ID: <003001d4cb5c$f847ecc0$e8d7c640$(a)vtxmail.ch&gt; Content-Type: text/plain; charset="us-ascii" Hello I simulated the following AR(1) process xt = 5 + 0.4xt-1 + e with e = N(0,1) 200 observations Estimation with OLS: xt = 5.047xt + 0.414xt-1 Estimation with gretl ARIMA: xt = 8.57 + 0.43xt-1 I simulated this AR(2) process: xt = 5 + 0.4xt-1 -0.1xt-2 + e OLS estimation: xt = 4.64 + 0.377x t-1 -0.0075 x t-2 ARIMA estimation: xt = 7.36 + 0.369xt-1 -0.0076xt-2 Why is gretl giving such a bad estimation compared to OLS-estimation? Thank you Raul