Neas-Seminars

MA(1)


http://33771.hs2.instantasp.net/Topic9300.aspx

By Edward - 5/12/2010 10:30:21 PM

I'm at wit's end here.

I have a MA(1) model: y_t = .64 + e_t + 0.599*e_[t-1]

Here is the first few lags from my data:
lag Y
1 0.63
2 0.67
3 0.56
4 0.59

I cannot for the life of me calculate the first forecasted MA(1) value. Can someone provide me with the predicted values and residuals based on just the first 4 lags? I'm basically stuck on calculating the residuals despite going through the book, notes, and this message board. I'm sure the answer is somewhere, but I apparently failed to find... in any case, I'm at wit's end here. Any help is greatly appreciated.

[NEAS: Calculate both the expected values and the actual values for each period. The residual is the difference. From the MA(1) equation, calculate the next expected value.]