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*
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I wonder why the coefficient values are little bit different between them.
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Another thing I wonder is why the AIC value is so significantly different
each other*.*
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Please help me, if anyone who have experience both of eview and R is in R
community.
Thank you.
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