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ARMA programming

Posted: Sun May 15, 2011 2:04 pm
by luisafhc
Hi,

I'm trying to program an ARMA(1,1) code simulation but i have some problems. First, i need to simulate 10 times with 4000 iterations the next items:
1. Mean
2. Variance
3. Autocovariance
4 Autocorrelation (ACF)
5. Parcial Autocorrelation (PACF)

So, i need to create a vector who saves the results to compare them. I'm using Eviews 6

Also, i have a base code but that only generates 1 simulation:

workfile ARMA_1_1 U 1 5000
series er=nrnd
series yt=0
smpl @first+2 @last
Yt=0.9*yt(-1)+0.8*er(-1)+er
equation MODELO_ARMA.ls yt AR(1) MA(1)


Thanks,

Luisa Fda.