Re: [Gretl-users] quickly run through ARIMA models, varying parameters, acquiring AIC, BIC, HQC?
On Sat, 26 Apr 2014, Andreï | Андрей Викторович wrote:
# Stationary ARMA(2,2) model
series z = 4.5
z = 1 + 0.25*z(-1) + 0.55*z(-2) + wn + 0.5*wn(-1) + 0.5*wn(-2)
An alternative way to generate an arma process is to use the filter()
function. This leads to a formulation that's probably less intuitive, but
more efficient and compact:
<hansl>
phi = {0.25, 0.55}
theta = {1, 0.5, 0.5}
z = filter(wn, theta, phi)
</hansl>
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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