Allin The account of ARMA/ARIMA modelling is apart from this minor point very clear. If you are considering adding a footnote to cover it you might also consider the following point, If I add a time trend to the data set then the following two commands give the same results (apart from the labels in the results table.
arima p 1 q ; y X const arima p 1 q ; y X time Best Regards John On 3 May 2010 19:58, Allin Cottrell <cottrell(a)wfu.edu> wrote: > > On Mon, 3 May 2010, John C Frain wrote: > >> 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. > > It isn't. That would just give you zero, and hence doesn't seem > like something the user would want. The following should be > equivalent, for X a list of regressors not including the constant: > > arima p 1 q ; y X > arma p 0 q ; d_y d_X > > In other words, if you want arima without a constant, then don't > specify a constant, rather than specifying one and expecting gretl > to destroy it for you. Perhaps the manual should be clarified on > this point. > > Allin Cottrell > > > > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users > -- 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
