Hi, I'll really appreciate your help.
How can i conduct an auto-regressive AR filter to demean a time series on eviews?
For example, using this form: R_t = mu + b*R_t-1 + e_t.
Where R_t is a interest rate spread and mu is the unconditional mean.
Thanks a lot.
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- Sat Nov 02, 2013 9:14 pm
- Forum: Estimation
- Topic: Dynamic conditional correlation multivariate GARCH
- Replies: 77
- Views: 90835
rosen89, as someone said above "you should use "smpl sf" instead of "smpl s1" before calling the estimation algorithm", that is, you need to define sample s1 and s2. Check logl series on your workfile, the first value is NA, then you should use s2 = 2 to n (s1 = 1 to n)...