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how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:11 pm
by RICH2222
how do i represent SARIMA (0,1,1)(0,1,1) 12 in eviews?

is it equation seas.ls d(rate,1,12) ma(1) sma(1) or

equation seas.ls d(rate,1,12) ma(1) ma(12) ma(13) or

equation seas.ls d(rate,1,12) ma(1) sma(12)

where rate is my data series
thank you

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:13 pm
by EViews Gareth
What frequency is your workfile?

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:23 pm
by RICH2222
it is monthly series

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:26 pm
by EViews Gareth
equation seas.ls d(rate,1,12) ma(1) sma(12)

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:42 pm
by RICH2222
thanks

so can i represent SARIMA (0,1,1)(1,1,1) 12 in eviews as equation seas.ls d(rate,1,12) ma(1) sar(12) sma(12)

and SARIMA (0,1,1)(0,1,2) 12 as equation seas.ls d(rate,1,12) ma(1) sma(24)

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 2:54 pm
by EViews Gareth
Yes, although an SAR without an AR term is the same as an AR by itself.

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 3:00 pm
by RICH2222
lastly so if a person represents d(rate,1,12) ma(1) ma(12) ma(13) as SARIMA (0,1,1)(0,1,1) 12 model it is totally wrong in eviews?

Re: how to represent SARIMA model in eviews

Posted: Wed Oct 01, 2014 3:36 pm
by EViews Gareth
Yes.

Re: how to represent SARIMA model in eviews

Posted: Thu Oct 02, 2014 12:30 pm
by RICH2222
so what name can i get to this eviews model d(rate,1,12) ma(1) ma(12) ma(13) ?

Re: how to represent SARIMA model in eviews

Posted: Thu Oct 02, 2014 12:47 pm
by EViews Gareth
There is no ARIMA notation equivalent.

Re: how to represent SARIMA model in eviews

Posted: Thu Oct 02, 2014 11:45 pm
by RICH2222
i want to generate a forecast plot by using my the model i developed in eviews but i want to generate the plot with my original data (rate series) not the series d(rate,1,12) i used to develop the model. how do i go about it? thank you

Re: how to represent SARIMA model in eviews

Posted: Fri Oct 03, 2014 2:04 am
by EViews Gareth
When you forecast from an equation, EViews asks you whether you want to forecast the original form, or the transformed data.

Re: how to represent SARIMA model in eviews

Posted: Mon Oct 06, 2014 8:31 am
by RICH2222
is it correct to say because the mean of the residuals of a model is approximately zero then the residuals are random and normal distributed eventhough the prob value of Jarque- bera statistic is less that 5%?
mean of residuals is -0.031182
prob value of Jarque-Bera is 0.
thank you

Re: how to represent SARIMA model in eviews

Posted: Mon Oct 06, 2014 9:02 am
by startz
No. The mean has nothing to do with normality.

Re: how to represent SARIMA model in eviews

Posted: Thu Oct 30, 2014 4:26 am
by RICH2222
if in a model where you have monthly dummies, you find that some dummies are not significant ie they have pvalues greater than 0.05, is it wise to drop them from the model?