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Well, the reason lies in the fact that I am programming the model described in Henry & Olekalns 2002, Southern Economic Journal on monthly dates. Therefore, I wanted to span lagged values of one year which necessitates the inclusion of 12 lags of AR and MA.

Thank you very much for your quick response, Gareth.

Cheers Z

Hey Gareth,

I don't follow, to be honest. So does this mean that there is a limit of 24 coeffs that can be estimated. Maybe it's lost in translation since i#m not a native English speaker but what do you mean by "override"?

Z

Hi everybody, I encountered an akward thing today. In my sample I have about 550 monthly observations. I wanted to estimate an ARMA(12,12), therefore I clicked "Quick" --> "Estimate equation" and then the usual window pops up which asks me to type in the dependent followed by the...

Of course that's possible!

What's your code you've written so far?

Z

Hi morbo-23, I wrote something that might help you. I am not sure, if it is really correct. But I'd appreciate it if you could take a look at it. I have arbitrarily taken a AR(2) for the conditional mean. '################################################## 'AR(2) - GJR-GARCH(1,1) '##################...

Hello! I am confused a little bit. Maybe someone can shed light into the dark for me? I want to do an MLE. For starting values I first try to "demean" the data by estimating an ARMA(p,q) with LS. 'get starting values from ARMA(p,q) equation eq_temp.ls y c ar(1) ar(2) ma(1) ma(6) ma(12) ma(...

Hi Gareth, thank's for your thoughts on this so far. I took the absolute value of sig2 ll1.append loglf = -0.5 * log(2*3.14) - 0.5 * log(@abs(sig2)) -0.5 * res^2 / @abs(sig2) But still the same error message pops up... If I wanted to take only the second until last observation of x, what command wou...

Hello. I am trying to estimate a simple GARCH(1,1) with maximum likelihood. My code is: %daily = "test" !obs = @val(%1) pageselect {%daily} genr y = {%0} genr x = dlog(y) '###################################### param c(1) 0 c(2) 0.1 c(3) 0.8 c(4) 10 logl ll1 ll1.append @logl loglf ll1.appe...

Wow, that was fast! Thank's a lot sweivE

Sorry, I guess I should better be posting this thread in the ARIMASel Forum...

Hello everbody!

I was wondering, if there is a way to view the code of the ARIMASel add in?

Greetz,

Felix

Dear Gareth and Amber! First of all thank you, for helping me out. As I saw Amber's thread I got the idea to write the code as follows: vector interimvec_{%criterion} = @cimin({%criterion}_knots) +1 scalar min_nod_{%criterion} = interimvec_{%criterion}(1,1) vector interimvec_{%criterion} = @cmin({%c...

Hi Everybody, I do have a problem with the following code: for %criterion aic bic hqc ' Specification of page pageselect {%daily} %spec = "spline_" + %criterion ' vector with Information criterion from different knot specifications vector(!Kmax - 1) {%criterion}_knots for !k=2 to !Kmax {%c...