Invertibility Condition ARIMA

[Jariel]

I have build a programm that goes through a combination of SARIMA terms and different dummy variables and make a table out of the relevant statistics (AIC etc.).

What i also want, is to make sure the sum of the absolute coefficients of the model is below 1 (Invertibility condition) so i don't get explosive forecasts. Is that possible somehow?

[EViews Gareth]

You'll have to define more carefully what you mean by "make sure".

[Jariel]

E.g. a command to tell me if the condition of Invertibility is met or not, so i can filter those models out

[EViews Gareth]

Well if you just want to check the sum of the coefficients, you can calculate it by hand pretty easily. Something like:

Code: Select all

!sum = @abs(myeq.@coef(2))+@abs(myeq.@coef(3))

[Jariel]

Thanks for your answer.

Do you think i could somehow automatically read that out (ARMA model is not invertible) from ARMA structure -> Roots:



Edit: Also does this consider SMA/SAR terms too?

[EViews Gareth]

You could freeze the table output and extract the text from that cell, but it would be a little finicky.