Hi there,
I am incredibly new to statistics & Eviews so very sorry if this question isnt explained well.
Basically I am running a simulation for the AR(1) model but I don't understand why SIGMASQ is showing up in my output.
These are the steps I have taken:
I have generated e = nrnd
Generated AR07=0 (and changed sample size to 1 1)
Generated AR07=0.7*ar07(-1)+e (and changed the sample size to 2 500)
then I generated the equation, and this is where I am getting confused.
The equation I generated was AR07 AR(1)
But for some reason I get SIGMASQ value as a coefficient in my output. All I want to see in terms of coefficients is the value of AR(1). Could someone please tell me what I am doing wrong?
Thank you very much for your help.
Removing SIGMASQ from output?
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startz
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Re: Removing SIGMASQ from output?
SIGMASQ is the estimate of the variance of the innovations. It comes out of the maximum likelihood estimate. You can ignore it, or you can switch to an AR algorithm that doesn't directly estimate it.
Re: Removing SIGMASQ from output?
Hi,
My estimate also give SIGMASQ. Replacing "AR" variable algorithm produce different values.
Can you please help me to remove SIGMASQ in results?
Thanks
My estimate also give SIGMASQ. Replacing "AR" variable algorithm produce different values.
Can you please help me to remove SIGMASQ in results?
Thanks
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