Hello!
Help me, please. I have been generating (with "program") time series, consisting of 2500 observations and its process is ARMA(2,1):
smpl @all
series e=nrnd
smpl @first @first
series x=1
smpl 2 @last
series x=1+0.5*x(-1)+0.1*x(-2)+e-1.2*e(-1)
EViews has been getting only first value of the series, other values are NA. What could I do?
Problem with simulating ARMA(2,1)
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startz
- Non-normality and collinearity are NOT problems!
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Re: Problem with simulating ARMA(2,1)
You have two lags of x, so you need to start the smpl at 3.
Re: Problem with simulating ARMA(2,1)
Thanks very much!
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