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

Posted: Mon Jun 27, 2016 4:53 pm
by yenming
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.

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

Posted: Mon Jun 27, 2016 5:11 pm
by EViews Gareth
Eq1.@coef(1)

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

Posted: Mon Jun 27, 2016 6:27 pm
by yenming
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?

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

Posted: Mon Jun 27, 2016 6:33 pm
by EViews Gareth
Try it ;)