### Estimateing a Model with AR errors

Posted:

**Thu Oct 14, 2010 10:04 pm**Hi,

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?

Thanks.

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?

Thanks.