system with AR errors

[cel]

I’m estimating some non-linear equations by the system estimators. I want to allow for AR and/or MA errors in the individual equations.

This doesn’t seem to be possible going through the menu estimation. Is it otherwise doable?

Thanks.

[trubador]

Have you tried to look up the manual? Because it says, among other things, the following:

* The equations in a system may contain autoregressive (AR) error specifications, but not MA, SAR, or SMA error specifications. You must associate coefficients with each AR specification. Enclose the entire AR specification in square brackets and follow each AR with an “=”-sign and a coefficient. For example:
cs = c(1) + c(2)*gdp + [ar(1)=c(3), ar(2)=c(4)]
* You can constrain all of the equations in a system to have the same AR coefficient by giving all equations the same AR coefficient number, or you can estimate separate AR processes, by assigning each equation its own coefficient.

[cel]

just tried it and it works. many thanks.