how to interpret ARMA result
Posted: Thu Sep 15, 2011 2:04 pm
Please forgive if my questions are naive as I am new to eviews. I am researching on weak form efficiency on a stock exchange and was asked to used ARMA on all share index (ASI). After performing unit root I decided to difference and log the ASI data to cater for nonstationarity. Viewing the corellogram of dlog(ASI) I am at a loss as to the order of ar and ma as the ACF and PACF dont exactly fall to zero. Please look at the work file and tell me where I went wrong and how best to proceed. Also, I was looking through the Eviews help topics (under output from ARIMA estimation) and i was wondering how to know the standard error and t-statistic of yt-5 as it does not appear in the output table. Please help!