According to the users guide (see equation 20,8 on page 147 of the May 2010 version) the instruction
arima 0 1 1 ; 0 1 1 ; ln_vols ln_vol_exm_s ln_price ban_e const should produce the same results as arima 0 0 1 ; 0 0 1 ; d_sd_ln_vols d_sd_ln_vol_e d_sd_ln_price d_sd_ban_e I am presuming that the constant is differenced along with the other x variables. In effect it produces the same results as arima 0 0 1 ; 0 0 1 ; d_sd_ln_vols d_sd_ln_vol_e d_sd_ln_price d_sd_ban_e const The instruction arima 0 1 1 ; 0 1 1 ; ln_vols ln_vol_exm_s ln_price ban_e does produce the result that I require. Can anyone confirm that this is the intended behaviour. -- John C Frain Economics Department Trinity College Dublin Dublin 2 Ireland www.tcd.ie/Economics/staff/frainj/home.html mailto:frainj(a)tcd.ie mailto:frainj(a)gmail.com
