On 20/06/12 11:47, Sanzad Siddique wrote: > 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); >
The AR roots are approx -2.33 and 1.07 and the MA roots are -1.33 and 1. The model is non-invertible and almost non-stationary and one of the AR roots (1.07) practically cancells one of the MA roots (1). I think gretl's arima engine restricts itself to an invertible area. -- Ignacio Diaz-Emparanza DEPARTAMENTO DE ECONOMÍA APLICADA III (ECONOMETRÍA Y ESTADÍSTICA) UPV/EHU Avda. Lehendakari Aguirre, 83 | 48015 BILBAO T.: +34 946013732 | F.: +34 946013754 www.ehu.es/ignacio.diaz-emparanza/ www.ea3.ehu.es
