How to make estimation of AR first order model?

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Dwiast
Posts: 1
Joined: Mon Jan 24, 2022 11:19 pm

How to make estimation of AR first order model?

Postby Dwiast » Wed Jan 26, 2022 1:10 am

My data is:
EPS years-1: 90, years-2: 130, years-3: 142
i have estimation model : Y = a +b Y-1+ e ->AR first order model
and i find value of earning persistence from the coefficient of lag Y-1 variable (b-value)
if i want to find the value of earning persistence in years-2 and years-3, how i run the data? must i run twice or just once?
how data is make in excel?

years eps
1 90
2 130
3 142

or

years eps
3 142
2 130
1 90

startz
Non-normality and collinearity are NOT problems!
Posts: 3746
Joined: Wed Sep 17, 2008 2:25 pm

Re: How to make estimation of AR first order model?

Postby startz » Wed Jan 26, 2022 7:39 am

Did you want

Code: Select all

ls eps c eps(-1) ar(1)
?


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