ARMA Model Output & Excel

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joaom
Posts: 2
Joined: Thu Apr 17, 2014 1:25 pm

ARMA Model Output & Excel

Postby joaom » Thu Apr 17, 2014 1:54 pm

Dear All,

I am using my Eviews Output of an ARMA Model, taking the coefficients in other to perform my Forecasts in Excel. However, I am not being able to match the residuals of the in-sample estimations delivered by Eviews. In Attatchment I have the calculations i am performing. I think the mistake has to do with the computation of the MA(12). As an abstract, the purpose is to forecast the year-on-year change rate of $/€ exchange rate and I estimated an ARMA with AR(1) and MA(12).
Thank you in advance for your help!
Best,
Attachments
maexcel.xls
(82.5 KiB) Downloaded 272 times
Last edited by joaom on Thu Apr 17, 2014 11:16 pm, edited 1 time in total.
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: ARMA Model Output & Excel

Postby EViews Gareth » Thu Apr 17, 2014 2:11 pm

Have you read through:
http://forums.eviews.com/viewtopic.php?f=7&t=465
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joaom
Posts: 2
Joined: Thu Apr 17, 2014 1:25 pm

Re: ARMA Model Output & Excel

Postby joaom » Thu Apr 17, 2014 2:15 pm

Yes I have but still there was no practical explanation on an ARMA, I just found an Excel with either AR or MA... Can you check what I put in attatchment?
Thanks in advance,
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