首页 | 学习中心 | 注册 登录
返回列表 发帖
busprof

Rank: 2

UID
223216 
帖子
174 
主题
161 
注册时间
2011-7-11 
最后登录
2016-4-18 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2013-4-1 13:04 | 只看该作者

Schweser and AR Order

another
When we find seasonality in one of the lags we need to add another independent variable corresponding to that lag. HOWEVER, Schweser mentions that this does not make the model AR(2).
If this doesn’t make it AR(2) then what is an AR(2) model and when do we need it?
收藏 分享

luckygiftvn

Rank: 2

UID
223345 
帖子
312 
主题
44 
注册时间
2011-7-11 
最后登录
2013-9-29 
2#
发表于 2013-4-1 13:04 | 只看该作者
AR(2) is x(t) = b0 + b1 * x(t-1) + b2 * x(t-2) + variance
AR(2) AR(1) + seasonality lag
You would use AR(2) if you felt that there was a 2 period relation to the current variable value. The AR(1) + seasonality is used to construct a relation between the current and previous values compensated for a seasonal adjustment.
Not sure that I’ve explained that well or not…

TOP

bdavi77962

Rank: 2

UID
223458 
帖子
310 
主题
9 
注册时间
2011-7-11 
最后登录
2014-8-7 
3#
发表于 2013-4-1 13:04 | 只看该作者
just remember if that the lag is being added for seasonality purpsoes it doesnt move it from AR1 to AR2. Only if you add the next consecutive time lagged dependendt variable.

TOP

返回列表