EViews.com

Hi,
I was using the stability diagnostics to get recursive coefficients for some parsimonious OLS equations that have AR terms (lagged dependent variables) in them. Then I read the Eviews Help Guide, and noticed the statement: "The recursive estimates view is only available for equations estimated by ordinary least squares without AR and MA terms". Does anyone know if this means I literally cannot use recursive estimation option for equations with AR terms? I can't put my finger on why not - since it's just adding observations one at a time/increasing the sample size. Plus I can still generate the graphs and series.
I would really appreciate any advice on this.
Thanks!

There are several sets of recursive diagnostics. Of which are you referring?

Hi, thanks for your message.
It is the option that follows from stability diagnostics, "Recursive Estimates (OLS only)", and then all 6 options within that tab (Eviews 7.1). I think perhaps the Guide means that it doesn't work for purely ARMA regressions? I tried a univariate ARMA regression, and sure enough I wasn't able to use the above diagnostics option. But I suppose if I have a multivariate OLS regression that happens to have AR terms, it is fine?

Mila

The reason it's not offered for AR models is that the latter are nonlinear estimators. The recursive coefficients view uses one-step updating to find the solution to the linear least squares estimator without inverting the augmented moment matrix. Nonlinear estimation would involve full estimation for each augmented sample.

Hi Glenn,
Thanks for your clarification. I think I sort of get what you mean (please excuse my technical ignorance). Just to clarify: Does that mean that despite being able to get the recursive coefficients with my regressions (with AR terms), they are not the accurate nonlinear estimates?
Many thanks for your help!

EViews treats lagged dependent variables and explicit AR terms differently. This may explain some of what's going on.

Thanks Startz! That might be it I think. My equations are with lagged dependent variables, so I'm still "allowed" to proceed with the recursive estimation options. I guess I will the results as "kosher" then.