for an explosive process, EV9 seems not able to find the true coefficient.
Code: Select all
!T = 200 '400 will more explosive
wfcreate u !T
rndseed(type=mt) 12347
genr e = 0.6*nrnd
genr u = 0
genr u2 = 0
genr u3 = 0
smpl @first+1 @last
u = 0.4*u(-1)+e 'U(1)=0, starting from unconditional mean
u2 = 1.04*u2(-1) +e 'explosive
u3 = 1.04*u3(-1) -e 'explosive, u3 = -u2 !
equation eq01.ls u ar(1)
if @vernum>=9 then
equation eq02.ls(arma=cls) u2 ar(1) 'produce EV8 results in EV9; discard arma=cls in EV8
else
equation eq02.ls u2 ar(1)
endif
equation eq029.ls u2 ar(1) 'ml, ar1<1
equation eq029o.ls(optmethod=opg) u2 ar(1)
show eq02
show eq029
if @vernum>=9 then
show eq02.resids
show eq029.resids
endif
you will see that EV9 use ML to estimate ARMA model, from eq029.resids, the residuals are not normal.
My question: does EV9 restrict the AR(1) coef to <=1 in estimation?