Problem with simulating ARMA(2,1)
Posted: Wed Feb 16, 2011 9:30 am
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?
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?