How to get AR coefficient from an ARMA(m,n) model

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yenming
Posts: 5
Joined: Mon Jun 27, 2016 8:22 am

How to get AR coefficient from an ARMA(m,n) model

Postby yenming » Mon Jun 27, 2016 4:53 pm

If I set a maximum of AR and MA term, like MaxAR=3 MaxMA=2.

I want to test all the possible combination of ARMA model.

For example:
equation eq1.ARCH(thrsh=1,DERIV=AA) eq AR(1) MA(1)
equation eq2.ARCH(thrsh=1,DERIV=AA) eq AR(2) MA(1)
equation eq3.ARCH(thrsh=1,DERIV=AA) eq AR(3) MA(1)
equation eq4.ARCH(thrsh=1,DERIV=AA) eq AR(1) AR(2) MA(1)
equation eq5.ARCH(thrsh=1,DERIV=AA) eq AR(1) AR(3) MA(1)
equation eq6.ARCH(thrsh=1,DERIV=AA) eq AR(2) AR(3) MA(1)
......

Then I want to check the stationary condition, sum of AR coefs must<1

I know freezing the table can get the value.
But when I changing the model, the location of AR coefs will also be changed.

Is there some advice to doing the checking process?

Thank you for help.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: How to get AR coefficient from an ARMA(m,n) model

Postby EViews Gareth » Mon Jun 27, 2016 5:11 pm

Eq1.@coef(1)

yenming
Posts: 5
Joined: Mon Jun 27, 2016 8:22 am

Re: How to get AR coefficient from an ARMA(m,n) model

Postby yenming » Mon Jun 27, 2016 6:27 pm

If I want get the coef of the garch term, how can I find n to use eq1.@coef(n)?
Should I use n=eq1.@ncoef?

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: How to get AR coefficient from an ARMA(m,n) model

Postby EViews Gareth » Mon Jun 27, 2016 6:33 pm

Try it ;)


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