Approximation of partial correlation ?

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DBel2012
Posts: 69
Joined: Sun Sep 30, 2012 5:37 am

Approximation of partial correlation ?

Postby DBel2012 » Tue Nov 27, 2012 12:50 pm

Hello,

I'm not sure I'm am in the right forum, but anyways here is my problem.

I wonder if someone could help me understand something about the partial autocorrelation approximation made by Eviews.

In the formula found on page 326 of the Users Guide 1, Eviews 6, it is said that

Φ k,j = Φ k-1,j - Φ k Φ k-1,k-j

I know what Φk refers to (single subscript), but I cannot figure out what, for instance, Φ 1,1 would refer to?

Thanks!

EViews Glenn
EViews Developer
Posts: 2672
Joined: Wed Oct 15, 2008 9:17 am

Re: Approximation of partial correlation ?

Postby EViews Glenn » Tue Nov 27, 2012 3:09 pm

It's just a recursive function for the partial autocorrelation. The double subscript phi terms are just defined in the line below.


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