how to generate an arma

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hnida
Posts: 9
Joined: Fri Jan 02, 2009 7:09 am

how to generate an arma

Postby hnida » Fri Jan 02, 2009 8:26 am

Hi
I am using eviews for the first time, so my question is quite obvious i guess...
I am using eviews3.0, and i want to generate different armas, that's the syntax i use:
create u 2000
genr a=rnd (nrnd is not working on this version i guess)
GENR ARMA=0
GENR ARMA= 0.9*ARMA(-1)+a+0.8*A(-1)
When i open the variables, i have different values for the a, but always get "na" for the arma. I tried different combination and it seems like the programm is not able to calculate the term arma(-1).
Can someone help me please!

startz
Non-normality and collinearity are NOT problems!
Posts: 3178
Joined: Wed Sep 17, 2008 2:25 pm

Re: how to generate an arma

Postby startz » Fri Jan 02, 2009 9:13 am

hnida wrote:Hi
I am using eviews for the first time, so my question is quite obvious i guess...
I am using eviews3.0, and i want to generate different armas, that's the syntax i use:
create u 2000
genr a=rnd (nrnd is not working on this version i guess)
GENR ARMA=0
GENR ARMA= 0.9*ARMA(-1)+a+0.8*A(-1)
When i open the variables, i have different values for the a, but always get "na" for the arma. I tried different combination and it seems like the programm is not able to calculate the term arma(-1).
Can someone help me please!


For the first observation A(-1) doesn't exist. It's treated as an NA, which then propagates to the rest of the series. Try

Code: Select all

genr a=rnd
GENR ARMA=0
SMPL 2 2000
GENR ARMA= 0.9*ARMA(-1)+a+0.8*A(-1)


By the way, I would be very surprised if nrnd wasn't working in version 3.

hnida
Posts: 9
Joined: Fri Jan 02, 2009 7:09 am

Re: how to generate an arma

Postby hnida » Fri Jan 02, 2009 9:25 am

it's working perfectly. I thought the observations started at 0...
Tanks a lot.


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