Currently, I am working on forecasting. I try various models. One of the models I tried is an AR model. As I have monthly data, I use the 12th period back in time. So the model is like Y(t)=Y(t-12)+e.
As Eviews9 contains helpfull tools to estimate models automatically, I requested a demo. Today, I could make use of eviews9. However, my syntax code do not result in the same output compared to eviews8.
So my questions are the following:
Why is the output different (displayed below), while my input was exactly the same?How can I interpret the SIGMASQ?As you can see, the number of included observations differs between eviews8 and eviews9. However, in both programs, I restricted the sample by using this command:smpl 2002m1 2011m12. Why the samples are not the same in the output, as the restriction should be the same in both cases?
The syntax I used in both programs was: LS(DERIV=AA) num10994 ar(12)
Outputs:
time-series autoregressive eviews
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asked Sep 9 “15 at 15:34
vba_interestedvba_interested
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It appears to me that the ar coefficient (1.102) in “8” is not invertable as it exceeds 1.0 . It was estimated using conditional least squares. If you use maximimum liklehood (as they did in version “9” ) you can control the sample space ( i.e. valid range for the coefficient ) thus .8223 . Notice the reduction in R_square and the proportionate increase in error variance.
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Version 8″s coefficient suggests that things are growing by 10.2% over last yeaar at this point in time. Such models are formally outside the range of valid Box-Jenkins models but I have my doubts as “growth models” are commonplace.
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edited Sep 9 “15 at 20:48
answered Sep 9 “15 at 20:31
IrishStatIrishStat
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