MA models, how to estimate lagged values of the error term?
Moderators: EViews Gareth, EViews Moderator
MA models, how to estimate lagged values of the error term?
How can I use lagged values of the error term in an equation? I tried the most common letters like e and u, and they are not working.
-
EViews Gareth
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13602
- Joined: Tue Sep 16, 2008 5:38 pm
Re: MA models, how to estimate lagged values of the error te
Could you provide context?
Re: MA models, how to estimate lagged values of the error te
Apologies if I wasn't clear, I would simply like to estimate the following equation:Could you provide context?
Y = C(1)*X + e(-1) + e
Where e(-1) is the lagged error term and e is the error term. Similar to MA models which use lagged error terms as regressors
-
startz
- Non-normality and collinearity are NOT problems!
- Posts: 3797
- Joined: Wed Sep 17, 2008 2:25 pm
Re: MA models, how to estimate lagged values of the error te
Estimate the equation including MA(1). Your "e" will be in the series resid.
Re: MA models, how to estimate lagged values of the error te
Is there a way to restrict the MA(1) to have a coefficient of one?Estimate the equation including MA(1). Your "e" will be in the series resid.
-
startz
- Non-normality and collinearity are NOT problems!
- Posts: 3797
- Joined: Wed Sep 17, 2008 2:25 pm
Re: MA models, how to estimate lagged values of the error te
I don't believe so.
Who is online
Users browsing this forum: No registered users and 2 guests
