Notation

[Zappa_F]

Hello!

I am confused a little bit. Maybe someone can shed light into the dark for me?

I want to do an MLE. For starting values I first try to "demean" the data by estimating an ARMA(p,q) with LS.

Code: Select all

'get starting values from ARMA(p,q) equation eq_temp.ls y c ar(1) ar(2) ma(1) ma(6) ma(12) ma(15) mu(1) = eq_temp.c(1) phi(1) = eq_temp.c(2) phi(2) = eq_temp.c(3) theta(1) = eq_temp.c(4) theta(2) = eq_temp.c(5) theta(3) = eq_temp.c(6) theta(4) = eq_temp.c(7) logl spgarch_!knots spgarch_!knots.append @logl llspg 'Residuals of ARMA(p,q) spgarch_!knots.append res = y - mu(1) + @nan( - phi(1)*y(-1) - phi(2)*y(-2), 0) spgarch_!knots.append resma = res - theta(1)*resma(-1) - theta(2)*resma(-6) - theta(3)*resma(-12) - theta(4)*resma(-15)

Assume for example the AR(2) coefficient is negative. Do I then have to write

spgarch_!knots.append res = y - mu(1) + @nan( - phi(1)*y(-1) + phi(2)*y(-2), 0)

or does Eviews 7 anticipate this?

Best Regards

F

[EViews Gareth]

It does not anticipate it, no.