EViews.com

Posted: **Fri Aug 28, 2015 8:16 am**

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

there is an explanation of how to estimate the residuals of the following process:

y c x ma(1)

It possible for me to reproduce the residuals of the example in an excel file.

When I want to estimate the following model:

d(y) c d(x) ma(1)

I can not reproduce the residuals of this model in my excel file (exact copy of excel file in that post). What should I change to get the correct residuals in a differenced model?

Posted: **Fri Aug 28, 2015 8:44 am**

Exactly the same way, but use the difference of the variables, rather than the variables.

Here's an EViews program:

Code: Select all


rndseed 1
create u 100
series x=nrnd
series y=nrnd

equation e1.ls(ARMA=CLS, Z, OPTMETHOD=LEGACY) d(y) c d(x) ma(1)

'Static Forecast
smpl 1 2
series e=d(y)-c(1)-c(2)*d(x)
smpl 3 100
series e=d(y)-c(1)-c(2)*d(x)-c(3)*e(-1)

e1.fit(d) yhats1   'EViews fitted values  (static)
series yhats2=c(1)+c(2)*d(x)+c(3)*e(-1)

show yhats1 yhats2

Posted: **Mon Aug 31, 2015 12:43 am**

Thanks for your quick response

I see the difference is in the estimating method, not in how to estimate the residuals.

I used GLS and I had backcasting on. What do these things do and why does it makes a difference?

Posted: **Mon Aug 31, 2015 7:16 am**

Such econometric discussions are beyond my scope.

The EViews documentation provides some details, as well as references to more.

EViews.com

Estimating residuals in an ARIMA(0,1,1) model

Estimating residuals in an ARIMA(0,1,1) model

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Re: Estimating residuals in an ARIMA(0,1,1) model