If y is I(1) and x is I(0), and your model is y = c + b*x, do you need to check for cointegration and have an error correction term?
I know the answer is yes if x is I(1) too, but not sure in this case since x is I(0).
Search found 9 matches
- Mon Dec 20, 2010 9:37 pm
- Forum: Econometric Discussions
- Topic: Cointegration
- Replies: 1
- Views: 2657
- Sun Dec 19, 2010 9:29 pm
- Forum: Estimation
- Topic: X-12 Seasonal Adjustment
- Replies: 0
- Views: 1871
X-12 Seasonal Adjustment
How do I get the seasonal factors for forecasts on X-12 seasonall adjustements?
IE, I use x-12 to seasonally adjust series. Then run a separate regression model to get a forecasted values of my seasonally adjusted series, then I want to apply factors to get my series back in original terms.
IE, I use x-12 to seasonally adjust series. Then run a separate regression model to get a forecasted values of my seasonally adjusted series, then I want to apply factors to get my series back in original terms.
- Tue Oct 26, 2010 4:23 am
- Forum: Estimation
- Topic: Seasonal Arima
- Replies: 1
- Views: 5487
Seasonal Arima
I want to estimate an ARIMA(2,0,0)(0,0,2)[4] model with a co-efficient on my variable called fee. I put the 4 in the square brackets there to show it is quarterly data. Doing: eq x.ls fee c ar(1) ar(2) sma(4) gives me output with the ar terms but an ma term instead of sma. Can you please suggest wha...
- Mon Oct 18, 2010 8:12 pm
- Forum: Add-in Support
- Topic: ARIMASel (Automatic ARIMA selection)
- Replies: 85
- Views: 143912
Re: ARIMASel (Automatic ARIMA selection)
No I have Eviews 6.
Is there any way to run it on Eviews 6?
Is there any way to run it on Eviews 6?
- Mon Oct 18, 2010 7:36 pm
- Forum: Add-in Support
- Topic: ARIMASel (Automatic ARIMA selection)
- Replies: 85
- Views: 143912
Re: ARIMASel (Automatic ARIMA selection)
hi,
how do i use this add-in? I can't seem to load it.
how do i use this add-in? I can't seem to load it.
- Sun Oct 17, 2010 11:15 pm
- Forum: Estimation
- Topic: Tramo/Seats Missing Forecast Values
- Replies: 1
- Views: 2718
Tramo/Seats Missing Forecast Values
Hello,
I use Tramo/Seats with Forecast horizon 3, transformation Auto Select, ARIMA Order Search set to search all and click on forecast....but all the forecast values are missing (N/A).
Why is this?
I use Tramo/Seats with Forecast horizon 3, transformation Auto Select, ARIMA Order Search set to search all and click on forecast....but all the forecast values are missing (N/A).
Why is this?
- Thu Oct 14, 2010 10:04 pm
- Forum: Estimation
- Topic: Estimateing a Model with AR errors
- Replies: 1
- Views: 2372
Estimateing a Model with AR errors
Hi,
How do I estimate u[t] = rho[1]*u[t-1] + rho[2]*u[t-2] +rho[3]*u[t-3] +rho[4]*u[t-4] where u[t] is the residual series from a corresponding time series equation.
Is it just to put AR(1)..AR(4) in the original time series equation?
Thanks.
How do I estimate u[t] = rho[1]*u[t-1] + rho[2]*u[t-2] +rho[3]*u[t-3] +rho[4]*u[t-4] where u[t] is the residual series from a corresponding time series equation.
Is it just to put AR(1)..AR(4) in the original time series equation?
Thanks.
- Thu Oct 14, 2010 10:00 pm
- Forum: Estimation
- Topic: Forecasting - missing values
- Replies: 4
- Views: 4572
Re: Forecasting - missing values
Dynamic, I think I figured out the answer; using @seas(2) instead of @quarter(2) works.
But I'm not sure why they are different?
Thanks.
But I'm not sure why they are different?
Thanks.
- Thu Oct 14, 2010 8:08 pm
- Forum: Estimation
- Topic: Forecasting - missing values
- Replies: 4
- Views: 4572
Forecasting - missing values
Hi, I can get n+1 forecast, but not n+2 or n+3. I decribe the problem below. I am trying to forecast with this equation using the Forecast button in the Equation window: equation reg.ls log(hourly_fees) c @trend @trend^2 @quarter(2) log(hourly_fees(-1)) My sample in the workfile is 2001Q3 to 2010Q4 ...