Search found 5 matches
- 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...
- 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...
- 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...
- 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?
- 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...