Search found 3 matches
- Fri Jul 27, 2012 7:56 am
- Forum: Estimation
- Topic: Multiplicative seasonal ARIMA
- Replies: 7
- Views: 10062
Re: Multiplicative seasonal ARIMA
I may be missing something, but couldn't you just do ar(4) ar(8) Thank you for your observation. However, since this is a multiplicative model, (1- a1 B) (1- a4 B^4 - a8 B^8), I would also need to include an ar(5) and an ar(9) term. The issue with such an approach is that I would need to estimate 5...
- Wed Jul 25, 2012 7:33 pm
- Forum: Estimation
- Topic: Multiplicative seasonal ARIMA
- Replies: 7
- Views: 10062
Re: Multiplicative seasonal ARIMA
From the EViews manual... A SAR( ) term can be included in your equation specification for a seasonal autoregressive term with lag . The lag polynomial used in estimation is the product of the one specified by the AR terms and the one specified by the SAR terms. The purpose of the SAR is to allow y...
- Wed Jul 25, 2012 9:01 am
- Forum: Estimation
- Topic: Multiplicative seasonal ARIMA
- Replies: 7
- Views: 10062
Multiplicative seasonal ARIMA
Hello, I have quarterly data and I want to estimate an ARIMA (1,1,0)X(2,1,0)4. I know the model has the the following form: (1- a1 B) (1- a4 B^4 - a8 B^8) (1-B)(1-B^4) Yt= u+Et I also know that I need to use something like d(Y,1,4) c ar(1) *representation for (1- a4 B^4 - a8 B^8)* Could you please t...
