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missunderstandings in Eviews Guide formula
Posted: Tue Oct 25, 2011 8:36 am
by audrkaba
I'm trying to understand how did you get a free coefficient in formula (21.30), EViews 7 User’s Guide II, p. 100. In formula (21.29) this free coefficient is equal to 9.034790, but in formula (21.30) this coefficient becomes equal to 0.0063. How is this possible?
Re: missunderstandings in Eviews Guide formula
Posted: Tue Oct 25, 2011 9:20 am
by EViews Glenn
It's from the AR polynomial expansion. Take the second equation, substitute in for u, and expand the polynomial on the left-hand side
(1-.980243L - .964553L4 + .980243*.964553*L5)(y - .9034790) = (1+.52L)*(1-.98L4)e
I'm doing the left-hand side in high precision since I'll need it to get the result. The right, we'll just leave as is...Note the presence of the constant on the left-hand side which gets multiplied by the AR polynomial. Then multiplying through and carrying the terms over to the right-hand side, we have
y = c + .980243*y(-1) + .964553*y(-4) - .980234*.964553*y(-5) + (1+.52L)*(1-.98L4)e
where
c = (1-.980243-.964553+.980243*.964553)*.9034790
which is about c = 0.000632730177.
Re: missunderstandings in Eviews Guide formula
Posted: Tue Oct 25, 2011 9:53 am
by audrkaba
ok, now it's clear... but you should use 9.034790 instead of 0.9034790 in your answer :)
Re: missunderstandings in Eviews Guide formula
Posted: Tue Oct 25, 2011 1:51 pm
by EViews Glenn
Oops
, er, I meant to do that to see if you were paying attention.