ARMA model estimation
Posted: Thu Apr 15, 2010 8:10 am
Hello everybody,
I would like to ask you a question about ARMA estimation :
I have to estimate an ARMA model for electricity prices, of the form
φ(B) (P - X) = θ(B) ε
where P is the dependent variable (first difference log price) and X is a set of explanatory variables, defined as:
X = c(0) + c(1)*dummy_1 + c(2)*dummy_2
where the dummies are, for example, 1 on Monday and 0 on other days.
My question is: how can this be done with Eviews? How can I estimate the coefficients c0,c1,c2 AND also the coefficients of the AR,MA terms in the more general model?
Thanks a lot for your kindness
I would like to ask you a question about ARMA estimation :
I have to estimate an ARMA model for electricity prices, of the form
φ(B) (P - X) = θ(B) ε
where P is the dependent variable (first difference log price) and X is a set of explanatory variables, defined as:
X = c(0) + c(1)*dummy_1 + c(2)*dummy_2
where the dummies are, for example, 1 on Monday and 0 on other days.
My question is: how can this be done with Eviews? How can I estimate the coefficients c0,c1,c2 AND also the coefficients of the AR,MA terms in the more general model?
Thanks a lot for your kindness