EViews.com

Hey,

I have a question on how eviews handles a high persistence moving average process in the error.

My dependent variable has this kind of process even after seasonal adjustment; refer to this graph of ARMA stucture correlogram:
According to the view ARMA structure my left hand side variable has a pronounced MA process well after 100 lags.

Can eviews compensate for this? I tried adding 100 ma terms, but eviews said: "Too many ARMA terms"

I'm using eviews 6, so I can't just type ma(1,100) like the latest version.

Please advise :)

These days, persistent autocorrelations are typically modeled using fractionally integrated models which allow for separate handling of long-run persistence and short-run dynamics.
EViews 6 does not support fractional estimation, but EViews 9 (which is in beta testing for those who have EViews 8 ) offers ARFIMA estimation.

I see,

Thank you, I will look forward to eviews 9.