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by borninthenorth
Wed Apr 04, 2018 1:14 pm
Forum: Econometric Discussions
Topic: Adding Lag Depended Variable
Replies: 2
Views: 279

Re: Adding Lag Depended Variable

Thank you for your reply. I have done that in my ARI(1,1) model, but since my SIC was lower in I(1) model I decided to work further on with the latter, but then the issue of auto-correlation appeared. I think I will go back to my ARI(1,1), despite the fact that the correlogram does not deliver any s...
by borninthenorth
Wed Apr 04, 2018 11:33 am
Forum: Econometric Discussions
Topic: Adding Lag Depended Variable
Replies: 2
Views: 279

Adding Lag Depended Variable

Hi! I encounter this theoretical problem while working on my model. After performing Box-Jenkins, I decided to choose I(1) model since it outperformed IMA(1,1), ARI(1,1), ARIMA(1,1,1) in terms of SIC. After performing LM test I can clearly see that in my I(1) model first degree autocorellation is pr...

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