Search found 2 matches

by sym
Fri Nov 15, 2013 6:11 pm
Forum: Estimation
Topic: auto-regressive (AR) filter to demean a series
Replies: 2
Views: 3432

auto-regressive (AR) filter to demean a series

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.
Anne Sym
by sym
Sat Nov 02, 2013 9:14 pm
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 77
Views: 90835

Re: Dynamic conditional correlation multivariate GARCH

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)...

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