Am 10.07.2015 um 09:46 schrieb Raul Gimeno:
I would like to generate AR, MA and ARMA processes. Is there any
function available to do so?
There is 'varsimul' which you could use also univariate AR, but it's
probably not the best way for your problem. Apart from that, specifying
the data-generating process like you tried below is the right approach.
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.
"doesn't work" is a typical but almost useless component of problem
reports. Please copy&paste the error message you're getting.
# 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
This already looks quite good. Perhaps you don't have a dataset in
place? Again, report your error message.