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Invertibility Condition ARIMA
Posted: Sun Dec 06, 2015 11:00 pm
by 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?
Re: Invertibility Condition ARIMA
Posted: Sun Dec 06, 2015 11:01 pm
by EViews Gareth
You'll have to define more carefully what you mean by "make sure".
Re: Invertibility Condition ARIMA
Posted: Sun Dec 06, 2015 11:03 pm
by Jariel
E.g. a command to tell me if the condition of Invertibility is met or not, so i can filter those models out
Re: Invertibility Condition ARIMA
Posted: Mon Dec 07, 2015 12:33 am
by 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))
Re: Invertibility Condition ARIMA
Posted: Mon Dec 07, 2015 1:12 am
by 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?
Re: Invertibility Condition ARIMA
Posted: Mon Dec 07, 2015 9:43 am
by EViews Gareth
You could freeze the table output and extract the text from that cell, but it would be a little finicky.