I am trying to compute fitted values from an estimated ARMA model, but my results are not correct.
boxjenk(constant,ar=1,ma=1,inputs=0,iter=1000,define=equation) dsp 1995:1 2008:12 res1
set fitted = 0.0
com fitted(t)= %beta(1) + %beta(2)*dsp(t-1) + %beta(3)*res1(t-1)
set fit = dsp-res1
The difference between fitted and fit is always equal to -1.42, starting from 1995:3 onwards.
Am I computing fitted wrong?