EViews.com

Which two specifications are you talking about? As Startz pointed out, estimating: Y AR(1) MA(1) and estimating Y Y(-1) MA(1) Are the same thing. Everything else is pretty much different. I'm talking about any arma vs lagged dependent variable model with ma terms (except for this special case).

I'm not sure I understand the question. Estimating a model with an AR, MA, SAR and SMA term, is not the same thing as estimating a model with a lagged dependent variable term. You should not expect the results to be the same. Could you, please, explain why ? Aren't these two specifications the same...

My question concerns ARIMA models. Up till now I estimated them In eViews using ar, ma, sar and sma commands. By chance I’ve noticed that there is a substantial difference between estimation results for such a specification and a specification with lagged dependent variable. Can this difference stem...