[Gretl-devel] ARMAX and diffs

[Allin Cottrell]

On Tue, 6 May 2008, Ignacio Diaz-Emparanza wrote:

> I was trying to estimate an ARIMA model with a intervention (a 
> level shift)... and found what I think is an inconsistency in 
> the treatment of the explanatory variable.
> 
> Could you, Allin or Jack, please correct this behaviour?

Thanks, Ignacio.  I think I'm going to wait for Jack's reaction 
on this point rather than jumping in myself.  But just to check my 
understanding: your point is that in an ARIMA model any exogenous 
variables should be subject to the same differencing that is 
applied to y(t)?

Allin.