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.
How to get AR coefficient from an ARMA(m,n) model
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EViews Gareth
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Re: How to get AR coefficient from an ARMA(m,n) model
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?
Should I use n=eq1.@ncoef?
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EViews Gareth
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