ARIMASel (Automatic ARIMA selection)

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EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Thu Aug 25, 2011 2:07 pm

I see nothing particularly wrong with what you're doing.
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miksterz1
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Re: ARIMASel (Automatic ARIMA selection)

Postby miksterz1 » Thu Aug 25, 2011 2:14 pm

EViews Gareth wrote:I see nothing particularly wrong with what you're doing.


Yeah, it works for 19 series so it can't be wrong. But I'm wondering if there is something in the ARIMAsel code that could be preventing it from creating strings after a while

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Thu Aug 25, 2011 2:25 pm

Not that I can think of.

To be honest though, you might have been better off not using the add-in at all, and just writing your own routine to do the ARMA selection, using the code here as a starting point. Then you have much more control over what is reported, kept, etc....
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miksterz1
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Re: ARIMASel (Automatic ARIMA selection)

Postby miksterz1 » Thu Aug 25, 2011 2:37 pm

EViews Gareth wrote:Not that I can think of.

To be honest though, you might have been better off not using the add-in at all, and just writing your own routine to do the ARMA selection, using the code here as a starting point. Then you have much more control over what is reported, kept, etc....


Yeah, you're probably right. I thought this would be more efficient but I already have code written that does it for an AR. Will just tweak that.

AKK2013
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Re: ARIMASel (Automatic ARIMA selection)

Postby AKK2013 » Tue Jun 25, 2013 9:17 am

Hi,

I am trying to install the ARIMASEL add-in and the system is asking me about Format Sting...what should I enter as "Format String"?

Thanks

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Tue Jun 25, 2013 9:23 am

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leucatree
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Re: ARIMASel (Automatic ARIMA selection)

Postby leucatree » Thu Aug 08, 2013 4:57 am

Hi, I am new to eviews (using eviews8). How to forecast with ARIMA after getting the the specification from running ARIMSel? For example, for my monthly time series the ARIMASel gave me differencing order 1, ar(1 to 2), ma(1), sra(4) and sma(4). Do I have to run the regression first to perform the forecast or is there another way of doing it? Thanks

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Thu Aug 08, 2013 7:55 am

Yes, you'll have to make a new equation with that specification, then forecast from it.
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leucatree
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Re: ARIMASel (Automatic ARIMA selection)

Postby leucatree » Mon Aug 26, 2013 11:28 pm

I've tried that, but the coefficients became insignificant. here is the specification: AR(2) MA(3), SAR(12), SMA(12), differencing 1 and my regression: ls d(y) c AR(2) MA(3) SAR(12) SMA(12). My time series data is from June 2003 to July 2013. what could be the problem? Also, what is the syntax to create dummy variable from October 2008 onwards. Thanks.

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Tue Aug 27, 2013 8:30 am

There's nothing in the ARIMASel procedure that guarantees the coefficients are significant.

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ghostwriter
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Re: ARIMASel (Automatic ARIMA selection)

Postby ghostwriter » Fri Sep 06, 2013 12:48 am

Is it possible to roll the ARMA selection one day ahead and display the best model at each point? Attached is my workfile.
Attachments
exchange rates.wf1
workfile
(91.95 KiB) Downloaded 336 times

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Fri Sep 06, 2013 6:57 am

Sure, there is nothing to stop you from putting the code inside a loop.
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ghostwriter
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Re: ARIMASel (Automatic ARIMA selection)

Postby ghostwriter » Sun Sep 08, 2013 11:03 pm

My programming abilities are limited at best, how would i do this?

Alesta
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Re: ARIMASel (Automatic ARIMA selection)

Postby Alesta » Fri May 30, 2014 8:09 am

Hi,
I'm using ARIMASel add-in and it seems powerful add-in. But i wonder when we use it. Non-stationary series or stationary (differenced) series. I'm a bit confused about that.

when i used for non-stationary series, it gives ARIMA (1,0,1) series is not stationary, but it says do not difference.

same series but differenced, it gives ARIMA (0,0,1). What should i do?

should i first difference, then use "arima selection add in" or directly use arima selection add-in?

Thanks for your help.

anhkhoa_lpt
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Re: ARIMASel (Automatic ARIMA selection)

Postby anhkhoa_lpt » Thu Jul 31, 2014 10:33 pm

Im using this add-in to choose models for many variables (stock price). But the result as series type (not equation type), so I cannot use forecast code to forecast. How can I forecast these models except retype it in OLS equation ? Thanks for your help.

I upload my picture, the result show in Series type, not in Equation type.


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