ARMA Model Output & Excel
Posted: Thu Apr 17, 2014 1:54 pm
Dear All,
I am using my Eviews Output of an ARMA Model, taking the coefficients in other to perform my Forecasts in Excel. However, I am not being able to match the residuals of the in-sample estimations delivered by Eviews. In Attatchment I have the calculations i am performing. I think the mistake has to do with the computation of the MA(12). As an abstract, the purpose is to forecast the year-on-year change rate of $/€ exchange rate and I estimated an ARMA with AR(1) and MA(12).
Thank you in advance for your help!
Best,
I am using my Eviews Output of an ARMA Model, taking the coefficients in other to perform my Forecasts in Excel. However, I am not being able to match the residuals of the in-sample estimations delivered by Eviews. In Attatchment I have the calculations i am performing. I think the mistake has to do with the computation of the MA(12). As an abstract, the purpose is to forecast the year-on-year change rate of $/€ exchange rate and I estimated an ARMA with AR(1) and MA(12).
Thank you in advance for your help!
Best,