ARIMASel (Automatic ARIMA selection)

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EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Fri Aug 01, 2014 7:20 am

I don't understand the question.
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errormessage
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Re: ARIMASel (Automatic ARIMA selection)

Postby errormessage » Wed Aug 13, 2014 1:51 am

I am running the arimasel program in a loop and it works fine. Still, I have a few questions and would be happy if you could help.

1) Does the command allow to define the deterministic regressors? You can include a constant and trend if you want but since I am running the arimasel command in a loop with many variables, it would be nice that the deterministic regressors can be different for each arima model.

2) How can you change the command so that the windows with the best specification and the estimation output don't pop up? With many variables you have to click ok all the time and close all the windows afterwards. The do command in the arimasel code before equation doesn't seem to do the job.

3) For some of my time series I am missing the last or the two last observations because they are not yet published. So I want to estimate these series and forecast those observations. Do you know a way to program such that arimasel only applies on these series with the missing observations at the end?

Many thanks for your help!

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Wed Aug 13, 2014 7:47 am

Your best bet would be to write your own EViews program that does all of the things you want, using the ARIMASEL add-in as a starting place.
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purdued
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Re: ARIMASel (Automatic ARIMA selection)

Postby purdued » Wed Aug 20, 2014 3:45 am

Hi I'm looking to loop arimasel over a list of series like some of the others before me;

I'm using the code

!row = 1
table results
for %ser c1 c2 c3
{%ser}.arimasel
results(!row,1) = %ser
results(!row,2) = chosenstr
!row = !row + 1
next


However I keep getting an error saying "arimasel is not a valid view for c1 in do_c1.arimasel". C1 is my series name for clarity.

Any ideas what's wrong?

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Wed Aug 20, 2014 7:32 am

Do you have the add-in installed properly?
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purdued
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Re: ARIMASel (Automatic ARIMA selection)

Postby purdued » Wed Aug 20, 2014 7:44 am

Yes, it works fine when I use it for an individual series. Also in the manage add-ins section, it says installed.

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Wed Aug 20, 2014 7:58 am

Is there a proc assigned to the add-in properly?
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purdued
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Re: ARIMASel (Automatic ARIMA selection)

Postby purdued » Wed Aug 20, 2014 8:01 am

I'm not sure on that. I might re-install the add-in to see if that works.

metrix
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Re: ARIMASel (Automatic ARIMA selection)

Postby metrix » Mon Nov 17, 2014 7:42 am

hi everybody.
i have two suggestion:
1-ARMAX: this Add-in select the best order of AR, MA, SAR, SMA, if i have exogenous variables Xi what is the best lag order for each variables to minimize AIC HQ and BIC. can you add an option to use max lag for exogenous variables up to 10 lags, it would be useful to chow the best model ARMAX. :), and chow in ouput table the selected model.
2-critical value: how can chow the table by columns by 39 row for example.
I hope that you consider my suggestion for this add-in, unfortunately I'm not an expert in programming in EViews :cry: .

have a nice day for all.
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maxchen
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Re: ARIMASel (Automatic ARIMA selection)

Postby maxchen » Sun Jun 28, 2015 6:14 pm

I am using this plugin to select hundreds of series (I comment out the interactive diaglogs). And find that there is a handful of them, that the ARMA models do not achieve convergence.

It seems that, in the plugin, no checking whether the model achieves convergence.

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Sun Jun 28, 2015 8:01 pm

Correct.

Better off using the built in routines instead. They'll also be considerably faster.
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maxchen
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Re: ARIMASel (Automatic ARIMA selection)

Postby maxchen » Mon Jun 29, 2015 12:59 am

which is the built in routine?

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Mon Jun 29, 2015 6:29 am

Series.autoarma (ev9 only)
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ecofin
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Re: ARIMASel (Automatic ARIMA selection)

Postby ecofin » Tue Mar 01, 2016 12:50 pm

1-how can estimate best model without constant C, it can not do this.
2-when i use the Add-in to search best model it show table with the order lag selection like this (p,q)(P,Q), how can change the code to show it like this (p,d,q)(P,D,Q), why do you not put the regular and seasonal differencing? in X-13 options i can find it.

EViews Gareth
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Re: ARIMASel (Automatic ARIMA selection)

Postby EViews Gareth » Tue Mar 01, 2016 1:02 pm

Because the procedure always tests an (0,0,0) model, it needs at least one regressor (such as a constant), otherwise there is nothing to estimate.
You could change the code so that it starts at a (1,0,1) model if you wanted by changing the AR/MA loops so that they start at 1 rather than 0.

Since the selection criteria have no impact on deciding the differencing level, the d,D terms in the table are redundant (they would be the same for every model), so they're dropped to keep the table neater.
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