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Hi1

I'm revising this model:

Y(t) = c + b1*AR(1) + b2*MA(2) + b3*MA(3) + b4*MA(4) + b5*MA(5)

My question is: can a model have more than one MA process at the same time? I realized that the r-squared is higher if we account for more than one MA, but does it have a statistical meaning? It works but, is it right or it is just a spurious model? I have the results in attachment.
Thank you so much.

This isn't more than 1 MA process, it's a single MA(5) process.

Ok, so the right specification would be Y(t) = c + b1*AR(1) + b2*MA(5)

But, as you can see in the image, if I estimate this equation, the MA(5) is non significant.

Sorry, EViews notation for the order of an MA process is different from the usual statistical notation. What's normally called an MA(5) process needs to be written in EViews as

I did'nt know that. Thank you very much.