Hi, I have tried the ARIMA command in GRETL with the attached time series data. The time series is constructed with the below formula ( a- is normal random values):
z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1)
-0.75*a(t-2);
with the arima command (arima 2 0 2; 1), for order (2,2) , I am getting the
below output:
coefficient std. error z p-value
---------------------------------------------------------
const 4.96454 0.0275435 180.2 0.0000 ***
phi_1 -0.447238 0.789760 -0.5663 0.5712
phi_2 -0.0272188 0.390533 -0.06970 0.9444
theta_1 0.751567 0.787981 0.9538 0.3402
theta_2 -0.00643631 0.629626 -0.01022 0.9918
The output is not showing the correct coefficient values for model
parameters. I have attached the input data.
Can anyone check the attached dataset and let me know what could be the
problem.
Thanks,
Hi,
I have tried the ARIMA command in GRETL with the attached time series data. The time series is constructed with the below formula ( a- is normal random values):
z(t) = 0.50 + 0.50*z(t-1) + 0.40*z(t-2) + a(t)-0.25*a(t-1) -0.75*a(t-2);
with the arima command (arima 2 0 2; 1), for order (2,2) , I am getting the below output:
coefficient std. error z p-value
---------------------------------------------------------
const 4.96454 0.0275435 180.2 0.0000 ***
phi_1 −0.447238 0.789760 −0.5663 0.5712
phi_2 −0.0272188 0.390533 −0.06970 0.9444
theta_1 0.751567 0.787981 0.9538 0.3402
theta_2 −0.00643631 0.629626 −0.01022 0.9918
The output is not showing the correct coefficient values for model parameters. I have attached the input data.
Can anyone check the attached dataset and let me know what could be the problem.
Thanks,
inputMixed.gdt
Description: Binary data
