Simulating AR(2) model

[ConfusedaboutEViews]

Hi there,

I was wondering if someone could please confirm if I am entering in the correct inputs to simulate an AR(2) model?

Here are the steps I have done so far:

e = nrnd
ar07 = 0
ar07 = 0.7*ar07(-1)+ar07(-2)+e
then I generated the equation:
ar07 ar07(-1) ar07(-2)

Thank you very much

[startz]

Not quite. You need to set the smpl to 3 @last before you generate the equation so that two lags exist. Also, looks like you're missing a coefficient on the AR7(-2) term.

[ConfusedaboutEViews]

Thank you so much for your response.

Just one thing - I wasn't given a value for the coefficient of AR07(-2). I was originally asked to simulate an AR(1) model (Yt = 01Tt-1 +et) with 01 = 0.7, and then with that data I was asked to estimate an AR(2) model (Yt=01Yt-1 + o2Yt-2 +et). How do I enter the equation in eviews if I don't have the AR(-2) coefficient?

Thanks again.

[startz]

Thank you so much for your response.

Just one thing - I wasn't given a value for the coefficient of AR07(-2). I was originally asked to simulate an AR(1) model (Yt = 01Tt-1 +et) with 01 = 0.7, and then with that data I was asked to estimate an AR(2) model (Yt=01Yt-1 + o2Yt-2 +et). How do I enter the equation in eviews if I don't have the AR(-2) coefficient?

Thanks again.

It sounds like you were asked to simulate an AR(1) [not an AR(2)] and then estimate an AR(2) model. Take AR07 that you've already made and run

Code: Select all

ls AR07 ar(1) ar(2)