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Simulating AR(2) model
Posted: Mon Sep 14, 2015 11:36 pm
by 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
Re: Simulating AR(2) model
Posted: Tue Sep 15, 2015 6:22 am
by 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.
Re: Simulating AR(2) model
Posted: Tue Sep 15, 2015 4:50 pm
by 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.
Re: Simulating AR(2) model
Posted: Tue Sep 15, 2015 5:34 pm
by 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