When I do ARMA(2,2) using one lag of LCPIH data
This is eview result > > *Dependent Variable: DLCPIH > **Method: Least Squares > **Date: 08/12/11 Time: 12:44 > **Sample (adjusted): 1970Q2 2010Q2 > **Included observations: 161 after adjustments > **Convergence achieved after 14 iterations > **MA Backcast: 1969Q4 1970Q1 > ** > **Variable Coefficient Std. Error t-Statistic Prob. > ** > **C 0.003361 0.001814 1.853352 0.0657 > **DLCPIH(-1) -0.100150 0.053160 -1.883917 0.0614 > **DLCPIH(-2) 0.870456 0.052466 16.59075 0.0000 > **MA(1) 0.532252 0.100110 5.316678 0.0000 > **MA(2) -0.379383 0.099535 -3.811566 0.0002 > ** > **R-squared 0.512067 Mean dependent var 0.014816 > **Adjusted R-squared 0.499556 S.D. dependent var 0.016274 > **S.E. of regression 0.011513 Akaike info criterion > -6.060182 > **Sum squared resid 0.020676 Schwarz criterion -5.964486 > **Log likelihood 492.8446 Hannan-Quinn criter. -6.021326 > **F-statistic 40.92897 Durbin-Watson stat 2.012062 > **Prob(F-statistic) 0.000000 > ** > **Inverted MA Roots .40 -.94 * This is R result > *> dlcpihTsLen <- length(ausT2Ts[,4]) > **> dlcpihArma22Fit <- arima(ausT2Ts[,4], order=c(2,1,2), > xreg=1:dlcpihTsLen) > **> dlcpiArma22hFit <- arima(ausT2Ts[,4], order=c(2,1,2)) > **> dlcpihArma22Fit > * > *Call: > **arima(x = ausT2Ts[, 4], order = c(2, 1, 2), xreg = 1:dlcpihTsLen) > * > *Coefficients: > ** ar1 ar2 ma1 ma2 1:dlcpihTsLen > ** -0.1083 0.8673 0.5263 -0.3716 0.0146 > **s.e. 0.0493 0.0484 0.0894 0.0852 0.0041 > * > *sigma^2 estimated as 0.0001282: log likelihood = 498.38, aic = -984.76* * * * * I wonder why the coefficient values are little bit different between them. * * Another thing I wonder is why the AIC value is so significantly different each other*.* * * Please help me, if anyone who have experience both of eview and R is in R community. Thank you. [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.