Creating a program that compares ARMA t-statistics.

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator, EViews Matt

VBoykis
Posts: 5
Joined: Mon Jan 05, 2009 1:44 pm

Creating a program that compares ARMA t-statistics.

Postby VBoykis » Mon Jan 05, 2009 1:56 pm

Hi,

I am relatively new to EViews and am trying to create program that cycles through a list of all possible ARMA regrressors, as well as seasonality, and compares the t-statistics of each possible equation to see which equation best fits the model.

The three types of variables are AR, MA, and @seas, with 11 @seas dummies, 11 MA, and 5 AR. I need to find which is the best possible combination of any of these variables that fits the criteria t<|1|. So far I have:

Code: Select all

wfopen commimpprog


'Creates random combinations of the equations
for !a=1 to 5
for !m=1 to 11
for !s=1 to 11
equation furniture_!a_!m_!s.ls furniture_imp ar(!a)  ma(!m) @seas(!s)
next
next
next


My question is, how can I choose more than three variables at a time? The way the code is now, it only selects something like


Coefficient Std. Error t-Statistic Prob.

@SEAS(1) 14431004 12595034 1.145769 0.2560
AR(1) 1.003098 0.003706 270.7043 0.0000
MA(10) -0.866660 0.027555 -31.45160 0.0000

What if I want to include @seas1, @seas2, ar1,ar2, and ma10?

Thank you in advance for your help.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13305
Joined: Tue Sep 16, 2008 5:38 pm

Re: Creating a program that compares ARMA t-statistics.

Postby EViews Gareth » Mon Jan 05, 2009 2:10 pm

You might find the following post helpful:

viewtopic.php?f=5&t=220
Follow us on Twitter @IHSEViews

VBoykis
Posts: 5
Joined: Mon Jan 05, 2009 1:44 pm

Re: Creating a program that compares ARMA t-statistics.

Postby VBoykis » Tue Jan 06, 2009 6:28 am

Thank you for your help.


Return to “Programming”

Who is online

Users browsing this forum: No registered users and 17 guests