IMA (1,1)

[mwu888]

I am new to Eviews and would like some help on the following. How can I replicate an IMA(1,1) model for inflation rate using Eviews? The model equation is as follows: I(t) = 2.1E-06 + I (t-1) + a (t) - 7.24a(t-1), where I is the inflation rate and a(t) is a white-noise error term.

I understand that IMA is ARMA equivalent.

What is or are the commands in Eviews to replicate the above model? I experimented using the following command but I don't think it's right. I ar(1) ma(1). And how to introduce a white-noise error term?

Please help.

[EViews Gareth]

Are you trying to estimate an equation with that specification, or are you trying to generate data that follows a DGP with that specification. Your post isn't clear.

[mwu888]

Sorry for the lack of clarity. It's the second objective: trying to generate data that follows a DGP with that specification. Is it d(I) ar(1) ma(1)? Or I think this may be right. d(I) ma(1).

[EViews Gareth]

There are no built in tools for generating data that follow ARIMA specifications.

[startz]

Code: Select all

series a = nrnd series i=0 smpl 2 @last I = 2.1E-06 + I(-1) + a - 7.24a(-1)