ARIMAX Model Estimation

[krassy]

Hello!

I have a very basic question about how EViews estimates ARIMAX models. Consider the following ARIMAX equation:

Yt = fn(Const; Yt-1, Yt-2, ... ; et, et-1, et-2, ... ; Xt, Xt-1, ... )

Is it true that EViews applies the AR estimates ONLY to the DEPENDENT VARIABLE (Y), and NOT to the INDEPENDENT variables (X) in an ARIMAX model? In other words, the AR component of the equation does not affect the INDEPENDENT variables (X), correct?

For example, an ARIMAX model with p = 2, q = 2, n = 1, where L is the lag operator, is specified as:

Yt = Const + a1*Yt-1 + a2*Yt-2 + et + m1*et-1 + m2*et-2 + n1*Xt-1, but is not specified as:

Yt = Const + a1*Yt-1 + a2*Yt-2 + et + m1*et-1 + m2*et-2 + n1*(1 - a1*L1 - a2*L2)*Xt-1.

Am I correct about the ARIMAX specification in EViews? Thank you so much.

[EViews Gareth]

http://forums.eviews.com/viewtopic.php?f=7&t=465