just I have a question on State Space Object.
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 series '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)
for the model SARIMA(0,1,1)*(0,1,1)*12 the State Space is:
@signal y = sv1 + c(1)*sv2 + c(2)*sv13 + c(1)*c(2)*sv14
@state sv1 = [var = exp(c(3))]
@state sv2 = sv1(-1)
@state sv3 = sv2(-1)
@state sv4 = sv3(-1)
@state sv5 = sv4(-1)
@state sv6 = sv5(-1)
@state sv7 = sv6(-1)
@state sv8 = sv7(-1)
@state sv9 = sv8(-1)
@state sv10 = sv9(-1)
@state sv11 = sv10(-1)
@state sv12 = sv11(-1)
@state sv13 = sv12(-1)
@state sv14 = sv13(-1)
my question is: when there is a several combinations with SAR and SMA terms how I can write this models in State Space form in EViews object?
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)*(1,1,2)s=12
SARIMA(2,1,2)*(1,0,0)s=12
SARIMA(2,1,2)*(2,0,0)s=12
SARIMA(2,1,2)*(0,1,2)s=12
this will help me to compare with OLS method in EViews, it will help me to understand how to write these models when s=4
have you any idea for my question, Can you help me.
best regards.