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Problem with simulating ARMA(2,1)

Posted: Wed Feb 16, 2011 9:30 am
by kirillov
Hello!
Help me, please. I have been generating (with "program") time series, consisting of 2500 observations and its process is ARMA(2,1):

smpl @all
series e=nrnd

smpl @first @first
series x=1

smpl 2 @last
series x=1+0.5*x(-1)+0.1*x(-2)+e-1.2*e(-1)

EViews has been getting only first value of the series, other values are NA. What could I do?

Re: Problem with simulating ARMA(2,1)

Posted: Wed Feb 16, 2011 9:56 am
by startz
You have two lags of x, so you need to start the smpl at 3.

Re: Problem with simulating ARMA(2,1)

Posted: Wed Feb 16, 2011 10:03 am
by kirillov
Thanks very much!