Cochrane Orcutt
Posted: Thu Nov 16, 2017 7:50 pm
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 do CO. Can anyone shed some light on this?
The output that I get when I run "ls y c x ar(1)" is titled ARMA Maximum Likelihood (BFGS) under Method even though I used least squares command. So my question is as follows: can I use this output and interpret coefficients like how I'd interpret the coefficients from the feasible GLS?
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 do CO. Can anyone shed some light on this?
The output that I get when I run "ls y c x ar(1)" is titled ARMA Maximum Likelihood (BFGS) under Method even though I used least squares command. So my question is as follows: can I use this output and interpret coefficients like how I'd interpret the coefficients from the feasible GLS?