Search found 3 matches

by jensk
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...
by jensk
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...
by jensk
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...

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