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MA estimation
Posted: Tue Mar 01, 2011 8:02 am
by Mikhail
In
http://forums.eviews.com/viewtopic.php?f=7&t=465 Gareth explained the difference between "LS Y C AR(1)" and "LS Y C Y(-1)" estimates.
I have an analogous question about MA estimation.
Assume we have white noise E and MA(1)-process Y generated by Y=C*E(-1)+E with some constant C.
Why the following regressions
LS Y E(-1)
LS Y MA(1)
give different results?
The first one estimates C, while the second one estimates 1/C...
Thanks.
Re: MA estimation
Posted: Tue Mar 01, 2011 9:11 am
by EViews Gareth
I'm not sure I follow. E is not observered, so how can regression 1 be calculated?
Re: MA estimation
Posted: Tue Mar 01, 2011 10:02 am
by Mikhail
I assume that E is given. Say,
Code: Select all
series E=nrnd
smpl @first @first+1
series Y=0
smpl @first+1 @last
series Y=E-3*E(-1)
smpl @all
equation ma.ls Y MA(1)
equation ma1.ls Y E(-1)
Then the estimated coefficient at MA(1) is -1/3, while the estimated coefficient at E(-1) is -3.
Re: MA estimation
Posted: Tue Mar 01, 2011 10:08 am
by startz
If I remember correctly, an MA coefficient of 1/3 and 3 imply the same correlogram. Choosing the coefficient under 1.0 is just a convention.
Re: MA estimation
Posted: Tue Mar 01, 2011 10:10 am
by EViews Gareth
They're two completely different models. The MA model has no knowledge about the E series. It does not assume that E is given. Which is why you will never see identical results.
See what happens when you set the MA coefficient to an absolute value <1.
Edit: Startz beat me to it.
Re: MA estimation
Posted: Tue Mar 01, 2011 11:34 am
by Mikhail
startz, Gareth, could you explain this, please. May be some reference.
Does EViews among different representaions with the same correlogram choose invertible one?