EViews.com

Posted: **Tue Nov 13, 2012 1:36 pm**

Hi everyone !

I am using Eviews 7
I am trying to estimate ARMA(p,q) models for p=1 to 12 and q=1 to 12, and then report all the 144 AIC criterion into a matrix. This is my code :

Code: Select all


scalar pmax=12
scalar qmax=12

matrix(pmax+1,qmax+1) aic
 

for !p=0 to pmax
for !q=0 to qmax


if !p=0 then %order=" "
else
for !i=1 to !p
%order=%order+" ar("+@str(!i)+")"
next
endif

if !q=0 then %order=%order+" "
else
for !i=1 to !q
%order=%order+" ma("+@str(!i)+")"
next
endif

equation e.ls rcpilfesl c %order
%order=" "

aic(!p+1,!q+1)=e.@aic
next
next
delete e

My problem is that first it put the " " in red and then when I run the programm, it shows : Alpha series in specification - " " @EXPAND can convert to categorical dimmies in "EQUATION E.LS RCPILFESL C " "".

Thanks for your help :)

Posted: **Tue Nov 13, 2012 2:26 pm**

Change:

Code: Select all


equation e.ls rcpilfesl c %order

to be:

Code: Select all


equation e.ls rcpilfesl c {%order}

Posted: **Tue Nov 13, 2012 11:20 pm**

Thanks for your help :)

I tried this, but it does not work :(

I still get the error message, but instead of

Alpha series in specification - " " @EXPAND can convert to categorical dimmies in "EQUATION E.LS RCPILFESL C " ""

I get

Alpha series in specification - (" ") @EXPAND can convert to categorical dimmies in "EQUATION E.LS RCPILFESL C (" ")"

What I don't understand is why I got red code when I write the code, such as :

....

if !p=0 then %order=" "
....

%order=%order+ "ar("+@str(!i)+")"

.....

if !q=0 then %order=%order+""

...

%order=%order+" ma("+@str(!i)+")"

....

equation e.ls rcpilfesl c (%order)
%order=" "

Posted: **Tue Nov 13, 2012 11:33 pm**

Post your whole program and workfile.

Posted: **Tue Nov 13, 2012 11:53 pm**

Ok. Thanks Gareth. Here's my whole workfile. My goal here is to explain inflation by comparing ARMA model with macro model or VAR models and so on.

So here I would like to find an ARMA model for inflation. Inflation is dlog(cpilfesl) => rcpilfesl here.

Please don't have a heart attack about my code

I am a very beginner with Eviews :(

Code: Select all

'creating workfile

workfile projet m 1973:01 2012:09
cd J:\Projet
read(B2,s=raw) rawseries.xls 13


'creating two spread series : spread3 et spread10

genr spread3=tb3ms-fedfunds
genr spread10=gs10-fedfunds

'Unit Root testing indicates only four series to be stationary.

genr rrahetpi=dlog(ahetpi,2)
genr rcpilfesl=log(cpilfesl)-log(cpilfesl(-1))
genr rgoldam=log(goldam)-log(goldam(-1))
genr rindpro=log(indpro)-log(indpro(-1))
genr rm1sl=log(m1sl)-log(m1sl(-1))
genr roilprice=log(oilprice)-log(oilprice(-1))
genr rppiaco=log(ppiaco)-log(ppiaco(-1))
genr rtwexmmth=log(twexmmth)-log(twexmmth(-1))
genr rfedfunds=fedfunds-fedfunds(-1)
genr rgs10=gs10-gs10(-1)
genr rtb3ms=tb3ms-tb3ms(-1)


'Looking for the best ARMA model for Inflation 

scalar pmax=12
scalar qmax=12

matrix(pmax+1,qmax+1) aic
 

for !p=0 to pmax
for !q=0 to qmax


if !p=0 then %order=" "
else
for !i=1 to !p
%order=%order+ "ar("+@str(!i)+")"
next
endif

if !q=0 then %order=%order+""
else
for !i=1 to !q
%order=%order+" ma("+@str(!i)+")"
next
endif

equation e.ls rcpilfesl c (%order)
%order=" "

aic(!p+1,!q+1)=e.@aic
next
next
delete e

Posted: **Wed Nov 14, 2012 9:22 am**

There is no file attached.

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