the model ARIMA(p,d,q) is easy to write it in state space object in EViews when I use auto specification. for example ARMA(2,1) with serie 'y'
@signal y = c(1) + sv1 + c(4)*sv2
@state sv1 = c(2)*sv1(-1) + c(3)*sv2(-1) + [var = exp(c(5))]
@state sv2 = sv1(-1)
but when there is a seasonal model SARIMA(p,d,q)*(P,D,Q)s (s=4 for quarterly data, s=12 for monthly data) you must manually write the model in state space object in EViews, i don't know how to start to write signal and the state sv in SARIMA model.
So I would write these models in state space form when (s=12 monthly) for example the serie is 'y'
SARIMA(2,1,2)*(2,2,2)s=12
SARIMA(2,1,2)*(2,1,1)s=12
SARIMA(2,1,2)*(1,0,1)s=12
SARIMA(2,1,2)*(1,0,2)s=12
this will help me to compare with OLS method in EViews.
state space help
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