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y_s
2004 Sep 23
1
R vs EViews - serial correlation
...s far as I understand
gls(y~x,correlation = corAR1(0.5))$fit
is obtained through the linear equation 0.1410+1.0023*X while in EViews through the nonlinear equation
Y=rho*Y(-1) + (1-rho)*a+(X-rho*X(-1))*b
where either dynamic or static fitting procedures are applied.
X Y YF_D YF_S gls.fit
1 1 1.1592 NA NA 1.1434
2 2 3.5866 2.1499 2.1499 2.1457
3 3 4.1355 3.1478 3.7103 3.1480
4 4 3.9125 4.1484 4.5352 4.1504
5 5 2.7442 5.1502 5.0578 5.1527
6 6 6.0647 6.1523 5.2103 6.1551
7 7 6.9855 7.1547 7.1203 7.1574
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