In your first line, you write "ARMA(2,2)." However, what you fit in R is ARIMA(2,1,2). What you fit in eview, I can't tell. Could that explain the difference?
HTH, Daniel Young Gyu Park wrote: > > 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. > -- View this message in context: http://r.789695.n4.nabble.com/ARMA-show-different-result-between-eview-and-R-tp3778217p3778299.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ 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.
