On Mon, 26 Mar 2012, Riccardo (Jack) Lucchetti wrote: > Finally, our algorithm does not include, as probably Eviews' does, some form > of provision for what to do in the case when the MA polynomial has roots > inside the unit circle
Blast. Unfortunate typo if there ever was one. I meant "your algorithm"; gretl's internal algorithm for arma estimation does handle non-invertible MA polynomials quite alright. Sorry. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche (formerly known as Università di Ancona) r.lucchetti(a)univpm.it http://www2.econ.univpm.it/servizi/hpp/lucchetti
