Time Series Eviews Project

1953M01
1953M02
1953M03
1953M04
1953M05
1953M06
1953M07
1953M08
1953M09
1953M10
1953M11
1953M12
1954M01
1954M02
1954M03
1954M04
1954M05
1954M06
1954M07
1954M08
1954M09
1954M10
1954M11
1954M12
1955M01
1955M02
1955M03
1955M04
1955M05
1955M06
1955M07
1955M08

3.510000
3.530000
3.570000
3.650000
3.780000
3.860000
3.860000
3.850000
3.880000
3.820000
3.750000
3.740000
3.710000
3.610000
3.510000
3.470000
3.470000
3.490000
3.500000
3.490000
3.470000
3.460000
3.450000
3.450000
3.450000
3.470000
3.480000
3.490000
3.500000
3.510000
3.520000
3.560000

1957M09
1955M10
1955M11
1955M12
1956M01
1956M02
1956M03
1956M04
1956M05
1956M06
1956M07
1956M08
1956M09
1956M10
1956M11
1956M12
1957M01
1957M02
1957M03
1957M04
1957M05
1957M06
1957M07
1957M08

4.930000
3.590000
3.580000
3.620000
3.600000
3.580000
3.600000
3.680000
3.730000
3.760000
3.800000
3.930000
4.070000
4.170000
4.240000
4.370000
4.490000
4.470000
4.430000
4.440000
4.520000
4.630000
4.730000
4.820000

The Series is given below

which contains Monthly data
from 1953 to 1957.

AR(1)
The path in Eviews for AR(1) is Quick Estimate Equation then type Series name
Constant ar(1)
For example my series name is X so I typed X C AR(1)
The output table from Evies is given below.

Output Table From Eviews

Dependent Variable: X
Method: Least Squares
Date: 01/28/15 Time: 19:09
Sample (adjusted): 1953M02 1958M12
Included observations: 71 after adjustments
Convergence achieved after 5 iterations
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)

-3.764803
1.002430

50.61188
0.015793

-0.074386
63.47104

0.9409
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots

0.983161
0.982917
0.071241
0.350190
87.82994
4028.573
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.021831
0.545057
-2.417745
-2.354007
-2.392398
0.719648

1.00
Estimated AR process is nonstationary

In this output we note the value of Akaike info criterion and Schwarz criterion. From these
values which are smaller that model is best for our series.

MA(1)
The path in Eviews for MA(1) is Quick Estimate Equation then type Series name
Constant MA(1)
For example my series name is X so I typed X C MA(1)
The output is given below.

Output Table From Eviews

Dependent Variable: X
Method: Least Squares
Date: 01/28/15 Time: 18:52
Sample: 1953M01 1958M12
Included observations: 72
Convergence achieved after 11 iterations
MA Backcast: 1952M12
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
MA(1)

4.026402
0.972409

0.065455
0.013831

61.51423
70.30539

0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)

0.736308
0.732541
0.281625
5.551881
-9.912516
195.4610
0.000000

Inverted MA Roots

-.97

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.014722
0.544556
0.330903
0.394144
0.356080
0.080410

In this output we note the value of Akaike info criterion and Schwarz criterion. From these
values which are smaller that model is best for our series.

ARMA(1,1)
The path in Eviews for ARMA(1,1) is Quick Estimate Equation then type Series name
Constant ARMA(1)
For example my series name is X so I typed X C ARMA(1)
The output is given below.

Output Table From Eviews

Dependent Variable: X
Method: Least Squares
Date: 01/28/15 Time: 18:53
Sample (adjusted): 1953M02 1958M12
Included observations: 71 after adjustments
Convergence achieved after 50 iterations
MA Backcast: 1953M01
Variable

Coefficient

Std. Error

t-Statistic

Prob.

C
AR(1)
MA(1)

11.41603
0.997465
0.697403

57.48647
0.019622
0.087180

0.198586
50.83476
7.999616

0.8432
0.0000
0.0000

R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Inverted AR Roots
Inverted MA Roots

0.990987
0.990722
0.052501
0.187432
110.0194
3738.378
0.000000

Mean dependent var

S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat

4.021831
0.545057
-3.014632
-2.919026
-2.976613
1.447219

1.00
-.70

In this output we note the value of Akaike info criterion and Schwarz criterion. From these
values which are smaller that model is best for our series.

Interpretation:
From all these models the ARMA(1,1) model is best because as compared to all values of Akaike
info criterion ARMA model has the lowest value so it is the best model for our series.