Arima Model with monthly dataset

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bissy
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Joined: Sun Sep 13, 2009 1:38 am

Arima Model with monthly dataset

Postby bissy » Sun Sep 13, 2009 6:30 am

Hi everyone,
Can you please help me with this question.
I have a dataset of rubber prices in months from Jan 2004 to Apr 2009. When my teacher estimated to choose the best ARIMA model, i saw him use this fucntion
ls dlnprice ar(1) ar(5) ar(6) ar(15) ma(1) ma(5) ma(14) @expand(@month)
Would you please tell me the role of @expand(@month) in this fucntion
Many thanks!!
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trubador
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Joined: Thu Nov 20, 2008 12:04 pm

Re: Arima Model with monthly dataset

Postby trubador » Sun Sep 13, 2009 7:04 am

It creates a dummy variable for each month. Therefore you'll have 12 dummy variables generated to capture the seasonality effect.
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