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MA(2) intercept question

Posted: Sat Jun 02, 2012 6:38 pm
by Student_Researcher
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.

MA(2) intercept question

Posted: Sat Jun 02, 2012 7:15 pm
by startz
E_t will be the residuals. C is the mean of the dependent variable. If your variable is assumed to have mean zero, leave C out.