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If the LHS variable is d(ln y), what is the interpretation then? Thank you Admin.

Dear all, what is the proper interpretation of coefficients in time series regression when using first differencing on logs of the DV and in certain IVs. The log transformation was chosen to aim at elasticities. Differencing was chosen to achieve stationarity. As d(lnY) [first difference formulation...

Dear Glenn, thank you very much. I assume a MA(4) process is still considered rather "low ordered" then? Thanks as well for clarification on the notion "process".

Thanks. Could you please shortly indicate what is understood as "higher ordered" and "lower ordered"? What are the "thresholds"? I am basically referring to the notion that "higher ordered MA terms are extremely difficult to estimate". Thanks for clarification.

Dear all, are inverted MA roots close to one a problem for model validity or interpretation? If yes, what would be a recommended step (e.g. reducing MA terms etc). Some published results seem to indicate "no problem". EViews 7 User’s Guide II from Prof. Schwert on p. 100 explicitly states ...

Dear all, I am refering to your online Eviews tutorial, specifically "Time Series Estimation - SERIAL CORRELATION AND ARMA MODELLING". On page 29 you mention that a MA(2) process has to be modeled as MA(1) MA(2) in eviews...I conclude, this applies as well for higher ordered MA(q) processe...