Re: [Gretl-users] Retrieving the roots of an ARIMA
Henrique,
I think you could write the ARMA model in state-space form and
computing eigenvalues of that. For example, suppose that you have a
series y, modeling as AR(3)
arima 3 0 0; y
b=$coeff
c=I(2)~zeros(2,1)
A=b' | c
d=eigenvalue(A)
In this case you need that elements in d must be inside unit circle.
Rodrigo.
2012/1/31 Henrique Andrade <henrique.coelho(a)gmail.com>:
Dear Gretl Community,
Is there any way to retrieve the roots of an ARIMA model? Is there an
accessor that allows this kind of operation?
My aim goal is to build an automatic ARIMA modelling script that saves only
the models with signicant parameters and roots outside the unit circle.
Many thanks,
Henrique Andrade
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