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SARIMA command code

Posted: Thu May 14, 2015 5:29 am
by Bryan
I want to use a Seasonal Arima (SARIMA) model in EViews. However, I am not sure about the commands I have used.
I want to estimate a SARIMA (1,1,0)(1,1,0)12 model with monthly data series named "volume".

I have used the command: d(volume,0,12) c ar(1) sar(12). Is this correct?

Also, if I want to estimate an SARIMA (1,1,0)(1,0,0)12. Do I have to use the command: d(volume) c ar(1) sar(12)?

Thanks in advance !

Re: SARIMA command code

Posted: Thu May 14, 2015 7:26 am
by EViews Gareth
I think you're correct for the second one, but for the first you probably want d(volume,1,12) c ar(1) sar(12)

Re: SARIMA command code

Posted: Fri May 15, 2015 6:36 am
by Bryan
Thank you Gareth!

So, if we look at d(volume,0,12) c ar(1) sar(12) and d(volume,1,12) c ar(1) sar(12), what is the difference between the 0 and 1 ?

Does 1 mean the first difference of the 12-period seasonal difference of the series volume?
Or, is 1 the non seasonal difference?

Re: SARIMA command code

Posted: Fri May 15, 2015 8:39 am
by EViews Gareth
1 is the non seasonal difference.