startz, Gareth, could you explain this, please. May be some reference.
Does EViews among different representaions with the same correlogram choose invertible one?
Search found 3 matches
- Tue Mar 01, 2011 11:34 am
- Forum: Estimation
- Topic: MA estimation
- Replies: 5
- Views: 3590
- Tue Mar 01, 2011 10:02 am
- Forum: Estimation
- Topic: MA estimation
- Replies: 5
- Views: 3590
Re: MA estimation
I assume that E is given. Say,
Then the estimated coefficient at MA(1) is -1/3, while the estimated coefficient at E(-1) is -3.
Code: Select all
series E=nrnd
smpl @first @first+1
series Y=0
smpl @first+1 @last
series Y=E-3*E(-1)
smpl @all
equation ma.ls Y MA(1)
equation ma1.ls Y E(-1)- Tue Mar 01, 2011 8:02 am
- Forum: Estimation
- Topic: MA estimation
- Replies: 5
- Views: 3590
MA estimation
In http://forums.eviews.com/viewtopic.php?f=7&t=465 Gareth explained the difference between "LS Y C AR(1)" and "LS Y C Y(-1)" estimates. I have an analogous question about MA estimation. Assume we have white noise E and MA(1)-process Y generated by Y=C*E(-1)+E with some const...