Search found 5 matches

by tutonic
Fri Nov 17, 2017 9:21 pm
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 9635

Re: Cochrane Orcutt

Unfortunately, having an AR(1) coefficient above 1 means that many things in the regression don't work as it implies the errors do not have a finite variance. Adding an AR(2) is the right thing to do. The fact that the results aren't as expected doesn't make it wrong. My guess is that your dependen...
by tutonic
Fri Nov 17, 2017 5:52 pm
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 9635

Re: Cochrane Orcutt

By Iterated CO, you mean the part where it says Convergence achieved after XX iterations, right? right I've changed my estimation method to CLS. One thing worries me. My R squared is extremely high (0.997). Is that normal? Also, seeing as to how I've already corrected for the AR(1) via CO and Feasi...
by tutonic
Fri Nov 17, 2017 7:40 am
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 9635

Re: Cochrane Orcutt

Yes, although EViews does iterated Cochrane-Orcutt. By Iterated CO, you mean the part where it says Convergence achieved after XX iterations, right? I've changed my estimation method to CLS. One thing worries me. My R squared is extremely high (0.997). Is that normal? Also, seeing as to how I've al...
by tutonic
Fri Nov 17, 2017 4:24 am
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 9635

Re: Cochrane Orcutt

EViews Gareth wrote:On the Options page of the Estimation dialog, change the ARMA method to CLS


So if I change the estimation from ARMA to CLS, I can interpret the model like how I'd interpret my feasible GLS model obtained from getting estimated rho via CO procedure?
by tutonic
Thu Nov 16, 2017 7:50 pm
Forum: Estimation
Topic: Cochrane Orcutt
Replies: 9
Views: 9635

Cochrane Orcutt

Hi guys. I'm planning on running CO on my time series data to correct for AR(1) and then perform feasible GLS using the estimated rho from the CO iterative procedure. I've read that you can just regress y on x and include ad AR(1) term in EViews and it will produce results similar to if you manually...

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