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Question about AR Processes
Posted: Thu Dec 10, 2015 3:25 am
by Ynwe
So I want to check if my equation has autocorrelation. So I type in AR(1) into the equation. But it also gives me a SIQMASQ variable out. Why does it do this? I remember in the past it didn't do this also the method is changed to a Method: ARMA Maximum Likelihood (OPG - BHHH)
Can't I just use my OLS Regression and add an AR term with it?
Re: Question about AR Processes
Posted: Thu Dec 10, 2015 7:22 am
by startz
SIGMASQ is the estimated variance of the innovations to the error process.
Re: Question about AR Processes
Posted: Thu Dec 10, 2015 7:55 am
by Ynwe
is this a new feature in eviews 9? can remember seeing it in eviews 8
Re: Question about AR Processes
Posted: Thu Dec 10, 2015 7:59 am
by startz
Yes, it's new.
Re: Question about AR Processes
Posted: Mon Dec 21, 2015 7:57 am
by guiri
please , i am working on prices indexes and i am trying to do the Ljung Box and ARCH tests, i have tetsted them with EVIEWS , i have written the steps to test it and the interpretation. I just want to know if my demarche is correct ?? because i should repeat this demarche with other 10 indexs! thanks a lot