Simulation of SARIMA
Posted: Wed Oct 27, 2010 5:14 am
I have found a sarima model using R, and want to make a stochastic simulation of that model in Eviews 7.
The objective is to find a distribution of the values during the forecasting period.
I have:
- imported time series for the variable (inflow) and the residuals obtained in R
- created a model, based on the sarima from R:
d(inflow , 1 , 52) = - 0.3541*d(inflow(-1) , 1 , 52) + 1.1491 * d(inflow(-2) , 1 , 52) + 0.2523 * d(inflow(-3) , 1 , 52) - 0.2857 * d(inflow(-4) , 1 , 52) + 0.0078 * d(inflow(-5) , 1 , 52) - 0.0793 * d(inflow(-6) , 1 , 52) + 0.1148 * d(inflow(-7) , 1 , 52) + 0.0927 * residual_series(-1) - 1.7196 * residual_series(-2) - 0.1925 * residual_series(-3) + 0.8200 * residual_series(-4) - 0.8311 * residual_series(-52)
When solving the model, I have chosen simulation type = stochastic, solution sample=715 818, method=boothstrap, Boothstrap residual draw sample= 1 714
The result is unsuccessful and I get the message:
Unable to compute due to missing data in "D(INFLOW , 1 , 52) = - 0.3541 * D(INFLOW(-1) , 1 , 52) + 1. ...
It looks like the time series for the variable (inflow) is not used in the simulation.
Do anyone have any advice?
How do you recommend to simulate an already specified sarima model?
The objective is to find a distribution of the values during the forecasting period.
I have:
- imported time series for the variable (inflow) and the residuals obtained in R
- created a model, based on the sarima from R:
d(inflow , 1 , 52) = - 0.3541*d(inflow(-1) , 1 , 52) + 1.1491 * d(inflow(-2) , 1 , 52) + 0.2523 * d(inflow(-3) , 1 , 52) - 0.2857 * d(inflow(-4) , 1 , 52) + 0.0078 * d(inflow(-5) , 1 , 52) - 0.0793 * d(inflow(-6) , 1 , 52) + 0.1148 * d(inflow(-7) , 1 , 52) + 0.0927 * residual_series(-1) - 1.7196 * residual_series(-2) - 0.1925 * residual_series(-3) + 0.8200 * residual_series(-4) - 0.8311 * residual_series(-52)
When solving the model, I have chosen simulation type = stochastic, solution sample=715 818, method=boothstrap, Boothstrap residual draw sample= 1 714
The result is unsuccessful and I get the message:
Unable to compute due to missing data in "D(INFLOW , 1 , 52) = - 0.3541 * D(INFLOW(-1) , 1 , 52) + 1. ...
It looks like the time series for the variable (inflow) is not used in the simulation.
Do anyone have any advice?
How do you recommend to simulate an already specified sarima model?