MA models, how to estimate lagged values of the error term?

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E-Conman
Posts: 17
Joined: Sat Feb 28, 2015 5:09 am

MA models, how to estimate lagged values of the error term?

Postby E-Conman » Sat May 23, 2015 1:04 pm

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
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Joined: Tue Sep 16, 2008 5:38 pm

Re: MA models, how to estimate lagged values of the error te

Postby EViews Gareth » Sat May 23, 2015 1:18 pm

Could you provide context?

E-Conman
Posts: 17
Joined: Sat Feb 28, 2015 5:09 am

Re: MA models, how to estimate lagged values of the error te

Postby E-Conman » Sat May 23, 2015 1:48 pm

Could you provide context?
Apologies if I wasn't clear, I would simply like to estimate the following equation:

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

Postby startz » Sat May 23, 2015 3:13 pm

Estimate the equation including MA(1). Your "e" will be in the series resid.

E-Conman
Posts: 17
Joined: Sat Feb 28, 2015 5:09 am

Re: MA models, how to estimate lagged values of the error te

Postby E-Conman » Sat May 23, 2015 3:39 pm

Estimate the equation including MA(1). Your "e" will be in the series resid.
Is there a way to restrict the MA(1) to have a coefficient of one?

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

Postby startz » Sat May 23, 2015 4:23 pm

I don't believe so.


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