Difference between AR1 and lagged variable coefficients

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ClaireO
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Difference between AR1 and lagged variable coefficients

Postby ClaireO » Fri Nov 17, 2017 3:19 pm

Is the difference in coefficients on the lagged variable in the equations below the result of the solution algorithm? I think they should be exactly the same. I know the intercepts will differ. Thanks.

SMPL 1960 2017q3
equation test1.ls log(Qgdp) c ar(1)
equation test2.ls log(Qgdp) c log(Qgdp(-1))

EViews Gareth
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Re: Difference between AR1 and lagged variable coefficients

Postby EViews Gareth » Fri Nov 17, 2017 3:54 pm

If you use CLS as the estimation method for ARIMA, then the coefficient on the AR term and the lagged dependent term will be the same. The coefficient on the constant will not.

If you use GLS or ML as the estimation method, all bets are off.
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EViews Glenn
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Re: Difference between AR1 and lagged variable coefficients

Postby EViews Glenn » Mon Nov 20, 2017 10:57 am

Further, the default AR estimation method is ML.


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