Estimateing a Model with AR errors

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

Posts: 9
Joined: Thu Oct 14, 2010 7:56 pm

Estimateing a Model with AR errors

Postby jag_211085 » Thu Oct 14, 2010 10:04 pm


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?


Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: Estimateing a Model with AR errors

Postby trubador » Fri Oct 15, 2010 3:52 am

By corresponding/original time series equation if you mean something like: Yt = b0 + b1*Xt + Ut, then the answer is "Yes". You can simply estimate it as follows:

Code: Select all

Y c X ar(1) ar(2) ar(3) ar(4)

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 23 guests