MA(2) intercept question
Posted: Sat Jun 02, 2012 6:38 pm
I wish to estimate the following moving average MA(2) model:
X_t = theta_0*E_t + theta_1*E_t-1 + theta_2*Et-2, where theta_0 must equal 1.
If I put: c MA(1) MA(2) into Eviews, will c be the value of E_t? How am I to interpret the intercept? Is it the standard deviation? Where can I obtain the variance of this equation?
I am a beginner, so any help is greatly appreciated!
Thanks in advance.
X_t = theta_0*E_t + theta_1*E_t-1 + theta_2*Et-2, where theta_0 must equal 1.
If I put: c MA(1) MA(2) into Eviews, will c be the value of E_t? How am I to interpret the intercept? Is it the standard deviation? Where can I obtain the variance of this equation?
I am a beginner, so any help is greatly appreciated!
Thanks in advance.