ARIMASel (Automatic ARIMA selection)
Moderators: EViews Gareth, EViews Moderator, EViews Esther
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- Posts: 9
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Re: ARIMASel (Automatic ARIMA selection)
hi,
how do i use this add-in? I can't seem to load it.
how do i use this add-in? I can't seem to load it.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
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- Posts: 9
- Joined: Thu Oct 14, 2010 7:56 pm
Re: ARIMASel (Automatic ARIMA selection)
No I have Eviews 6.
Is there any way to run it on Eviews 6?
Is there any way to run it on Eviews 6?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Is there a way to capture ARIMASEL's recommended AR/MA specification within a program? I'd like to run arimasel on ~30 series, then create an equation object with the recommended specs. I'm currently working on accessing the crit table to find the minimum, but that seems a bit clunky. Is there temp variable, etc. (something like @nobs) that I can access with a program?
Thanks
Thanks
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
If you check the add-in program you can see that right at the end the best specification is stored in a program variable called %beststr. You could modify the program so that this is stored in a string object in your workfile. i.e. add something like this to the bottom of the program:
You could then access that string from another program and/or the command line etc...
Edit:
Actually that might not do what you want, since the %beststr contains some other text. You could do this though:
And put that line in at the bottom, prior to the line that says
Code: Select all
string beststr = %beststr
You could then access that string from another program and/or the command line etc...
Edit:
Actually that might not do what you want, since the %beststr contains some other text. You could do this though:
Code: Select all
string chosenstr = {%eqname}.@spec
And put that line in at the bottom, prior to the line that says
Code: Select all
d {%eqname}
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Re: ARIMASel (Automatic ARIMA selection)
EViews Gareth wrote:Actually that might not do what you want, since the %beststr contains some other text. You could do this though:Code: Select all
string chosenstr = {%eqname}.@spec
And put that line in at the bottom, prior to the line that saysCode: Select all
d {%eqname}
That worked great -- thanks!
Re: ARIMASel (Automatic ARIMA selection)
string chosenstr = {%eqname}.@spec
How can I change the above code such that Eviews gives automatically the name of the open series to the recommended specification?
Kind greetings,
How can I change the above code such that Eviews gives automatically the name of the open series to the recommended specification?
Kind greetings,
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
I'm not sure I understand your question.
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Re: ARIMASel (Automatic ARIMA selection)
I have to determine the appropriate AR specification of at least 100 series. I want eviews to save the recommended specification under the same (or a slightly adjusted) name as the series. Is it possible to program this or do I as have to replace chosenstr (in your example) by the seriesname each time I run the program for a new series?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
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Re: ARIMASel (Automatic ARIMA selection)
Probably the best way to do it would be to change it in whatever program you're using that is calling the add-in.
Currently, with that modification, the add-in will create a string called "chosenstr" that contains the best specification. I assume you're calling the add-in in some sort of for-loop that runs through your 100 series. Thus after you have called the add-in, you should simply assign a new string (or whatever) to be equal to chosenstr. Thus it would look something like this:
Of course with 100, it might be better to store them in a table:
Currently, with that modification, the add-in will create a string called "chosenstr" that contains the best specification. I assume you're calling the add-in in some sort of for-loop that runs through your 100 series. Thus after you have called the add-in, you should simply assign a new string (or whatever) to be equal to chosenstr. Thus it would look something like this:
Code: Select all
for %ser myseries1 myseries2 myseries3
{%ser}.arimasel
string {%ser}_chosen = chosenstr
next
Of course with 100, it might be better to store them in a table:
Code: Select all
!row = 1
table results
for %ser myseries1 myseries2 myseries3
{%ser}.arimasel
results(!row,1) = %ser
results(!row,2) = chosenstr
!row = !row + 1
next
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Re: ARIMASel (Automatic ARIMA selection)
Thank you very much!
Re: ARIMASel (Automatic ARIMA selection)
Hi,
When I use the add-in to determine the optimal AR lag length of a series I get an AR(1) according to the Hannan-Quinn criteria.
When I estimate the same model as a VAR-object with the same series the Hannan-Quinn criteria points at an AR(5). I entered 10 lags as maximum lag length in both the Add-in and the automatic lag selection box. Why do I get different results?
Kind greetings,
When I use the add-in to determine the optimal AR lag length of a series I get an AR(1) according to the Hannan-Quinn criteria.
When I estimate the same model as a VAR-object with the same series the Hannan-Quinn criteria points at an AR(5). I entered 10 lags as maximum lag length in both the Add-in and the automatic lag selection box. Why do I get different results?
Kind greetings,
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13319
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Why would you expect them to be the same?
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Re: ARIMASel (Automatic ARIMA selection)
Because a VAR Object with only one endogenous variable and no exogenous variables is the same as an AR model of that variable with the same lags. (regressioncoefficients, standard deviations, t-values are all the same- so why wouldn't the optimal lag length be?)
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