ARIMASel (Automatic ARIMA selection)
Moderators: EViews Gareth, EViews Moderator, EViews Esther
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Ah, I didn't follow that you were using a single endogenous variable.
I've just run a few tests, and I always get identical results in my data. Could you provide an example where you don't?
I've just run a few tests, and I always get identical results in my data. Could you provide an example where you don't?
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Re: ARIMASel (Automatic ARIMA selection)
Hey,
I have a series containing about 65000 numbers and I tried to run the armasel program for this series. However, every time I get the error message "Armasel is not a valid view for S"
(S is the series).
Additionally, I attempted to run the program for a series reduced to 3000 observations only. Again, I get the same error message.
Any suggestions?
I have a series containing about 65000 numbers and I tried to run the armasel program for this series. However, every time I get the error message "Armasel is not a valid view for S"
(S is the series).
Additionally, I attempted to run the program for a series reduced to 3000 observations only. Again, I get the same error message.
Any suggestions?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Do you have the add-in installed?
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Re: ARIMASel (Automatic ARIMA selection)
yea,
I actually tried again with another series and it worked. I have to try again with the other series. Probably, I did something wrong the first time.
Thanks anyway!
Further, I have another question. If the program chooses AR(10)MA(10), it means that the series is hardly predictably, am I right?
I actually tried again with another series and it worked. I have to try again with the other series. Probably, I did something wrong the first time.
Thanks anyway!
Further, I have another question. If the program chooses AR(10)MA(10), it means that the series is hardly predictably, am I right?
Re: ARIMASel (Automatic ARIMA selection)
Gareth,
I would like the ARIMAsel function to store the selected equation when it estimates it. I added the line of code you suggested to another poster but it doesn't see to do the trick.
Any idea what the issue could be? Or is that not quite what the above is supposed to do?
I would like the ARIMAsel function to store the selected equation when it estimates it. I added the line of code you suggested to another poster but it doesn't see to do the trick.
Code: Select all
string chosenstr = {%eqname}.@spec
Any idea what the issue could be? Or is that not quite what the above is supposed to do?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
That line will create a string object in your workfile containing the specification of the chosen equation. You can always then create your own equation with that specification.
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Re: ARIMASel (Automatic ARIMA selection)
Gareth,
I am running ARIMAsel through 54 series. I would like to set up a program that runs ARIMAsel on all 54 series and then stores equation objects for each. Then I can use these for forecasting etc.
I'm not sure how to go from having a string with the best specification to having an equation be estimated using that specification (apart from doing it manually, of course)
Any help would be much appreciated
I am running ARIMAsel through 54 series. I would like to set up a program that runs ARIMAsel on all 54 series and then stores equation objects for each. Then I can use these for forecasting etc.
I'm not sure how to go from having a string with the best specification to having an equation be estimated using that specification (apart from doing it manually, of course)
Any help would be much appreciated
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Assuming you have a string containing the specification called chosenstr:
Code: Select all
equation myeq.ls {chosenstr}
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Re: ARIMASel (Automatic ARIMA selection)
Thanks. It is now doing what I want it to but the string being saved looks like this:
_TEMPSER01 C MA(1)
Obviously there is no series called _TEMPSER01. Is there something I can alter in the program code for _TEMPSER01 to be the actual series name?
_TEMPSER01 C MA(1)
Obviously there is no series called _TEMPSER01. Is there something I can alter in the program code for _TEMPSER01 to be the actual series name?
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
easiest thing to do is just to keep the series called _tempser01 in your workfile. To do this, simple remove the line that says:
Code: Select all
d {%temps}
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Re: ARIMASel (Automatic ARIMA selection)
Sorry, I meant suppose my series is called GDP, how can I have it be called GDP in the string as well instead of being assigned the temp name. This may sound trivial but I need to run a loop that estimates 54 equations based on the criteria chosen by ARIMAsel for each of 54 variables.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: ARIMASel (Automatic ARIMA selection)
Yeah, but the point is that you can't have GDP as the dependent variable (unless you have chosen a maximum differencing of 0), since the routine might have taken differences. The values in the series tempser01 will contain the differenced data, so you do actually want tempser01 to be the dependent variable.
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Re: ARIMASel (Automatic ARIMA selection)
But I'm using data that has been transformed the way I want and then setting diff=0 so that isn't an issue!
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- Fe ddaethom, fe welon, fe amcangyfrifon
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Re: ARIMASel (Automatic ARIMA selection)
then you'll have to manipulate the string using the @w functions to remove the first word and replace it with the name of your variable.
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Re: ARIMASel (Automatic ARIMA selection)
Thanks for your help, Gareth. I've got it working now but something weird is happening. I'm running a look for 54 variables but it is stopping at the 19th one. The reason is no string seems to be getting created after the 19th series. I'm not sure why this is the case. My code follows. My 54 series are called c1,c2...,c54
Code: Select all
for !j = 1 to 54
c{!j}.arimasel(maxar=2,maxma=0,sar=12,sma=0,diff=0,crit="aic")
string c{!j}_chosen = chosenstr
string c{!j}_crit = @wdrop(c{!j}_chosen,"_TEMPSER01")
equation eq_c{!j}.ls c{!j} {c{!j}_crit}
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