Autoregressive models
Posted: Thu Jan 19, 2012 5:37 am
Hi,
I have a questions about autoregressive models.
The model
Y(t) = c0 + c1*X(t-1) + e(t)
e(t) = c2*e(t-1) + u(t)
can be estimated in EViews (I'm using 7.2) as
y c x(-1) AR(1).
But how would I estimate a model specified as follows:
Y(t) = c0 + c1*X(t-1) + e(t)
e(t) = c2*e(t-1) + c2*s(t) + u(t)
with s(t) being some other, predetermined variable?
Many thanks,
Philipp
I have a questions about autoregressive models.
The model
Y(t) = c0 + c1*X(t-1) + e(t)
e(t) = c2*e(t-1) + u(t)
can be estimated in EViews (I'm using 7.2) as
y c x(-1) AR(1).
But how would I estimate a model specified as follows:
Y(t) = c0 + c1*X(t-1) + e(t)
e(t) = c2*e(t-1) + c2*s(t) + u(t)
with s(t) being some other, predetermined variable?
Many thanks,
Philipp