arma model

[elhamfa]

hi.
I came across a problem and I just want to khow that how can I use "correlogram" in eviews to choose a best AR , MA or ARMA model and their best LAGs?

[trubador]

Just in the same way as you use ACF and PACF statistics/plots...

[stasibab]

Hello,

I am trying to use arma model to make an out-of-sample forecast. To be exact I want to specify the best arma model!

I have in-sample 1781 observations and out-of-sample 514 (total 2295)

can you help me on how to do it in EViews?

thank you

[stasibab]

I would like to ask if about the structure of the arma model

using least squares and 'sample' my dependent variable the structure for estimating different arma models

sample c ar(1) ma(1) ar(3) ma(3) : is this a correct structure?
sample c ar(1) ar(3) ma(1) ma(3) : is this the same as the above?
sample c ar(3) ma(3) ar(1) ma(1) : is this correct or have the ar to be in increasing order?

Thank you

[startz]

The order doesn't matter. But it's unusual to have MA(3) or AR(3) without having MA(2) and AR(2).

[stasibab]

The order doesn't matter. But it's unusual to have MA(3) or AR(3) without having MA(2) and AR(2).

So what do you mean? you have to always have in order like 1 2 3...

[startz]

The order doesn't matter. But it's unusual to have MA(3) or AR(3) without having MA(2) and AR(2).

So what do you mean? you have to always have in order like 1 2 3...

You don't have to have them in order, but you probably should include all the intermediate orders.

[stasibab]

Thanx a lot!!

[stasibab]

Thanx a lot!!

Sorry to bother you again but if the structure does not matter how come that when I run
sample c AR(5) AR(4) AR(9) AR(1) MA(5) MA(4) MA(9) MA(1)

AND

sample c AR(1) AR(4) AR(5) AR(9) MA(1) MA(4) MA(5) MA(9)

gives me a different results and makes the coefficients not significant?

[stasibab]

Sorry to bother you again but if the structure does not matter how come that when I run
sample c AR(5) AR(4) AR(9) AR(1) MA(5) MA(4) MA(9) MA(1)

AND

sample c AR(1) AR(4) AR(5) AR(9) MA(1) MA(4) MA(5) MA(9)

gives me a different results and makes the coefficients not significant?

Significant i mean the probabilities of the coefficients to be under 0,05. This must be that way in order to have a good forecast.

[EViews Glenn]

Hard to say without seeing the workfile.

[stasibab]

Hello,

I am trying to use arma model to make an out-of-sample forecast. To be exact I want to specify the best arma model!

I have in-sample 1781 observations and out-of-sample 514 (total 2295)

can you help me on how to do it in EViews?

thank you

Sorry I had it uploaded before!

I use the 1781 observations for estimation and 2295 for the forecast

[stasibab]

This is it

[startz]

Sorry to bother you again but if the structure does not matter how come that when I run
sample c AR(5) AR(4) AR(9) AR(1) MA(5) MA(4) MA(9) MA(1)

AND

sample c AR(1) AR(4) AR(5) AR(9) MA(1) MA(4) MA(5) MA(9)

gives me a different results and makes the coefficients not significant?

Significant i mean the probabilities of the coefficients to be under 0,05. This must be that way in order to have a good forecast.

You might want to post a picture of your output. You should be getting the same results.

[stasibab]

Ok now I am sending u the two tries.