how to represent SARIMA model in eviews
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- Non-normality and collinearity are NOT problems!
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Re: how to represent SARIMA model in eviews
No. The p-value is not the probability that the coefficient equals zero.
Re: how to represent SARIMA model in eviews
so you still maintain them in the model even though the probability value is greater that 0.05?
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: how to represent SARIMA model in eviews
Assuming you had some reason to put them in in the first place, yes.
Re: how to represent SARIMA model in eviews
thank you very much.
so if i have this 2 models
a. equation oil.ls oil c t @expand(@month,@droplast) with 2 of the dummies being insignificant
b. equation oil.ls t @expand(@month) with all all terms being significant.
can i pick model b. because all my terms are significant?
so if i have this 2 models
a. equation oil.ls oil c t @expand(@month,@droplast) with 2 of the dummies being insignificant
b. equation oil.ls t @expand(@month) with all all terms being significant.
can i pick model b. because all my terms are significant?
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- Non-normality and collinearity are NOT problems!
- Posts: 3775
- Joined: Wed Sep 17, 2008 2:25 pm
Re: how to represent SARIMA model in eviews
Those two models are substantively identical. You might want to read up some on the specification of dummy variable models.
Re: how to represent SARIMA model in eviews
yes you are right they are identical. thank you
Re: how to represent SARIMA model in eviews
RICH2222 wrote:thanks
so can i represent SARIMA (0,1,1)(1,1,1) 12 in eviews as equation seas.ls d(rate,1,12) ma(1) sar(12) sma(12)
and SARIMA (0,1,1)(0,1,2) 12 as equation seas.ls d(rate,1,12) ma(1) sma(24)
To represent a SARIMA (0,1,1)(0,1,2) 12 you should write: seas.ls d(rate,1,12) ma(1) sma(12) sma(24)
Note that SMA(12) term is missing in your expression
Re: how to represent SARIMA model in eviews
the attached file is estimation output form models (1 and 2)
1. equation oil.ls d(oil,1,12) ar(1) ar(12) ma(12)
2. equation oil2.ls d(oil,1,12) ar(1) sar(12) sma(12)
3. 3. equation oil3.ls d(oil,1,12) ar(1) sar(12) ma(12)
a) model 2 and model 3 are the same right?
b) i used same data from 1990m01 to 2014m05 to get estimation results for model 1 and model 2.
shouldn't their outputs be the same? if not can i get some explanation why their estimation output is different. are they not also the same? what is the difference between them if there is any?
c)what does the backcast in the estimation outputs mean and why are they different in both models?
d) how come the adjusted samples differ in both models?
thank you
1. equation oil.ls d(oil,1,12) ar(1) ar(12) ma(12)
2. equation oil2.ls d(oil,1,12) ar(1) sar(12) sma(12)
3. 3. equation oil3.ls d(oil,1,12) ar(1) sar(12) ma(12)
a) model 2 and model 3 are the same right?
b) i used same data from 1990m01 to 2014m05 to get estimation results for model 1 and model 2.
shouldn't their outputs be the same? if not can i get some explanation why their estimation output is different. are they not also the same? what is the difference between them if there is any?
c)what does the backcast in the estimation outputs mean and why are they different in both models?
d) how come the adjusted samples differ in both models?
thank you
- Attachments
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- evieeew.docx
- estimation output from model 1 and model 2
- (55.42 KiB) Downloaded 416 times
Re: how to represent SARIMA model in eviews
I've recibed this R script
Modelo3 = arima(Data$Table, xreg = Table[,5:9], order = c(4, 0, 0), seasonal = list(order = c(1, 1, 0) , period = 12), include.mean = F , fixed = c(NA, 0, NA, NA, NA, NA, NA, NA, NA, NA) )
and I want to replicate it in Eviews.
It's possible to represent this in Eviews?
SARIMA (4,0,0)(1,1,0)12
Thanks a lot,
Modelo3 = arima(Data$Table, xreg = Table[,5:9], order = c(4, 0, 0), seasonal = list(order = c(1, 1, 0) , period = 12), include.mean = F , fixed = c(NA, 0, NA, NA, NA, NA, NA, NA, NA, NA) )
and I want to replicate it in Eviews.
It's possible to represent this in Eviews?
SARIMA (4,0,0)(1,1,0)12
Thanks a lot,
Re: how to represent SARIMA model in eviews
How to represent SARIMA (0,1,1) (1,0,0)12 in eviews?
I have tried d(transinflow,1,0) c ma(1) sar (12) but the results are very different from Minitab, even the parameters that appear in eviews are not SAR but AR. Can anyone tell me where is my fault?
the left side uses eviews, and the right side uses minitab
I have tried d(transinflow,1,0) c ma(1) sar (12) but the results are very different from Minitab, even the parameters that appear in eviews are not SAR but AR. Can anyone tell me where is my fault?
the left side uses eviews, and the right side uses minitab
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