CLS in LS equation
Posted: Thu Sep 22, 2016 2:36 am
Dear all,
we used version 9.5 and version 8.1 to perform e.g.
that gives us a least-square estimation (without the sigma-parameter).
Both version provide the same results,
Now one of my colleagues has version 9 and the same code produces a ML estimation. We find out that the code has to be
to get the same results as in EViews 9.5.
But if I adopt the latter code in EViews 9.5 the code provides an ML-estimate. Very confusing!
What is the best method, that all EViews 9 versions produces least square estimates without sigma?
we used version 9.5 and version 8.1 to perform e.g.
Code: Select all
equation eq_1.ls(optmethod=legacy, arma=cls) hours c ma(1) ma(2) ma(3) ar(1) ar(2) @trendBoth version provide the same results,
Now one of my colleagues has version 9 and the same code produces a ML estimation. We find out that the code has to be
Code: Select all
equation eq_1.ls(optmethod=legacy, arma=eviews) hours c ma(1) ma(2) ma(3) ar(1) ar(2) @trendBut if I adopt the latter code in EViews 9.5 the code provides an ML-estimate. Very confusing!
What is the best method, that all EViews 9 versions produces least square estimates without sigma?