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