Thanks for contributing an answer to Cross Validated! Such models are formally outside the range of valid Box-Jenkins models but I have my doubts as “growth models” are commonplace.Ģ8.2k55 gold badges2828 silver badges5353 bronze badges Version 8″s coefficient suggests that things are growing by 10.2% over last yeaar at this point in time. Notice the reduction in R_square and the proportionate increase in error variance. If you use maximimum liklehood (as they did in version “9” ) you can control the sample space ( i.e. It was estimated using conditional least squares. It appears to me that the ar coefficient (1.102) in “8” is not invertable as it exceeds 1.0. The syntax I used in both programs was: LS(DERIV=AA) num10994 ar(12) Why the samples are not the same in the output, as the restriction should be the same in both cases? However, in both programs, I restricted the sample by using this command:smpl 2002m1 2011m12. 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, my syntax code do not result in the same output compared to eviews8.
So the model is like Y(t)=Y(t-12)+e.Īs Eviews9 contains helpfull tools to estimate models automatically, I requested a demo. As I have monthly data, I use the 12th period back in time. One of the models I tried is an AR model.
