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