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How to wirte the output of ARMA(p,q)?
Posted: Tue Aug 16, 2011 2:50 pm
by mountop21
I wanna run the following regression:
Yt=b1*Yt-1+b2*Yt-2+C1*resid(-1)+C2*resid(-2)+resid.
What should I write in EViews under LS method?
Should it be ...
Y AR(1) AR(2) MA(1) MA(2) ?
OR
Y Y(-1) Y(-2) MA(1) MA(2)?
OR
Ohters?
coz we cannot use Y Y(-1) Y(-2) RESID(-1) RESID(-2).
Thanks a lot.
Re: How to wirte the output of ARMA(p,q)?
Posted: Tue Aug 16, 2011 2:57 pm
by EViews Gareth
Either of the first two, depending on what you mean by resid in:
Yt=b1*Yt-1+b2*Yt-2+C1*resid(-1)+C2*resid(-2)+resid
If I were a betting man, reading a strict interpretation of that equation, I'd say you want:
y y(-1) y(-2) ma(1) ma(2)
Re: How to wirte the output of ARMA(p,q)?
Posted: Tue Aug 16, 2011 3:03 pm
by mountop21
Either of the first two, depending on what you mean by resid in:
Yt=b1*Yt-1+b2*Yt-2+C1*resid(-1)+C2*resid(-2)+resid
If I were a betting man, reading a strict interpretation of that equation, I'd say you want:
y y(-1) y(-2) ma(1) ma(2)
Thanks a lot.
But I am not sure whether MA(1) MA(2) are able to represent RESID(-1) RESID(-2). Will that be Ok?
Re: How to wirte the output of ARMA(p,q)?
Posted: Tue Aug 16, 2011 3:13 pm
by EViews Gareth
Again, you have to define what resid is.
Write down algebraically what your specification is.