Search found 2 matches
- Wed Jul 08, 2015 6:10 pm
- Forum: Estimation
- Topic: ARMA Estimation Options in Eviews9
- Replies: 2
- Views: 7494
ARMA Estimation Options in Eviews9
Hello, I'm trying to understand the three different ARMA estimation options ML, GLS and CLS listed on the options tab of the Estimate Equation Dialog Box. I have Eviews 9, which I recently upgraded from Eviews 8. I have the following model: Y_t = (X_t)' B_t + u_t, u_t = p*u_{t-1} + e_t where e_t ~ n...
- Sun Jun 28, 2015 6:34 pm
- Forum: Estimation
- Topic: Forecasting with linear regression with ar(1) error
- Replies: 1
- Views: 3530
Forecasting with linear regression with ar(1) error
Hi, I'm trying to understand in detail how Eviews calculates the forecast standard error for a linear regression equation that includes an ar(1) error term, I.e. Y_t = X_t' * B + u_t where u_t = p * u_{t-1} + e_t, e_t is normal(0,sigma^2) (*) I am using the example House1.wf1 workfile from Chapter 5...