Search found 3 matches

by naruto
Sat Oct 16, 2010 10:10 am
Forum: Estimation
Topic: Cochrane Orcutt method - estimate GLS
Replies: 2
Views: 5676

Re: Cochrane Orcutt method - estimate GLS

hi startz, thanks. are you able to list out the steps to "quasi-difference the original equation with new values of the serial correlation coefficient". I tried to do that but didn't work out - thanks yes, i am aware the results most likely is similar if i use AR(1) but i want to compare t...
by naruto
Sat Oct 16, 2010 9:49 am
Forum: Econometric Discussions
Topic: Role of R-squared
Replies: 1
Views: 4219

Role of R-squared

Hi people, if i set my null hypothesis as h(o):rho=<0 ( no positive serial correlation) and i do a DW (durbin watson) test and get 0.5 which means there is misspec and high serial correlation, basically to reject h(o). Then i do a GLS using AR(1) and got a 1.70 for DW which after referred to the cri...
by naruto
Fri Oct 15, 2010 11:28 am
Forum: Estimation
Topic: Cochrane Orcutt method - estimate GLS
Replies: 2
Views: 5676

Cochrane Orcutt method - estimate GLS

hi people, i am stuck with eviews trying to estimate using cochrane orcutt method instead of the AR(1) method (i am following the eviews study guide and there is instruction given) After calculating the new residual series, i am not sure how to rerun the equations to the point at which the estimated...

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