MA(2) intercept question

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Student_Researcher
Posts: 2
Joined: Tue Feb 21, 2012 9:01 am

MA(2) intercept question

Postby Student_Researcher » Sat Jun 02, 2012 6:38 pm

I wish to estimate the following moving average MA(2) model:

X_t = theta_0*E_t + theta_1*E_t-1 + theta_2*Et-2, where theta_0 must equal 1.

If I put: c MA(1) MA(2) into Eviews, will c be the value of E_t? How am I to interpret the intercept? Is it the standard deviation? Where can I obtain the variance of this equation?

I am a beginner, so any help is greatly appreciated!

Thanks in advance.

startz
Non-normality and collinearity are NOT problems!
Posts: 3798
Joined: Wed Sep 17, 2008 2:25 pm

MA(2) intercept question

Postby startz » Sat Jun 02, 2012 7:15 pm

E_t will be the residuals. C is the mean of the dependent variable. If your variable is assumed to have mean zero, leave C out.


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