Re: [Gretl-devel] ARMA developments
Am 28.04.2018 um 11:29 schrieb Riccardo (Jack) Lucchetti:
On Sat, 28 Apr 2018, Sven Schreiber wrote:
> Are people using bootstraps on ARMA specifications or stuff like that?
> And/or simulate some option prices based on an ARMA DGP for example?
> That would make a nice comparison with other software.
The best way I can think for making the speed improvement useful would
be adding some kind of "auto" option to the arima command to perform
automatic selection of the arma orders.
About bootstrap/simulation again - what would be a reasonably efficient
way of generating artificial data based on an ARMA estimate?
Here's my attempt:
<hansl>
open djclose.gdt
arorder = 2
maorder = 2
arima arorder 0 maorder; djclose --conditional
# simulate
series newu = resample($uhat)
list ulags = newu lags(maorder - 1, newu)
series mapart = lincomb(ulags, $coeff[1 + arorder + 1: nelem($coeff)])
series newy = djclose
newy = $coeff[1] + $coeff[2]* newy(-1) + $coeff[3] * newy(-2) + mapart
</hansl>
But I tend to think there must be a more elegant and/or more efficient way?
thanks,
sven