7:46 a.m.
Hello
I would like to generate AR, MA and ARMA processes. Is there any function
available to do so?
Would it be possible to include in the GRETL guide a note on how to generate
simple time series? This could be of great help for beginners.
I've tried to generate an AR(3) with the following script which doesn't
work. Thank you for your help.
Raul
# seed
set seed 89675430
# Generate an AR(3) process
scalar rho1 = 0.5
scalar rho2 = -0.3
scalar rho3 = 0.2
loop 1000
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
endloop
12:59 p.m.
Am 10.07.2015 um 09:46 schrieb Raul Gimeno:
Hello
I would like to generate AR, MA and ARMA processes. Is there any
function available to do so?
There is 'varsimul' which you could use also univariate AR, but it's
probably not the best way for your problem. Apart from that, specifying
the data-generating process like you tried below is the right approach.
Would it be possible to include in the GRETL guide a note on how to
generate simple time series? This could be of great help for beginners.
I’ve tried to generate an AR(3) with the following script which doesn’t
work. Thank you for your help.
"doesn't work" is a typical but almost useless component of problem
reports. Please copy&paste the error message you're getting.
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
This already looks quite good. Perhaps you don't have a dataset in
place? Again, report your error message.
-sven
1:09 p.m.
On Fri, 10 Jul 2015, Raul Gimeno wrote:
Hello
I would like to generate AR, MA and ARMA processes. Is there any function
available to do so?
Would it be possible to include in the GRETL guide a note on how to generate
simple time series? This could be of great help for beginners.
Section 16.2
-------------------------------------------------------
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
-------------------------------------------------------
1:53 p.m.
El 10/07/15 a las 09:46, Raul Gimeno escribió:
Hello
I would like to generate AR, MA and ARMA processes. Is there any
function available to do so?
Would it be possible to include in the GRETL guide a note on how to
generate simple time series? This could be of great help for beginners.
I’ve tried to generate an AR(3) with the following script which
doesn’t work. Thank you for your help.
Raul
For simulated data you need to inform gretl the length of your time
series, with the first command
'nulldata 200'
For example this reserves space for series with 200 obs.
It may be useful also to inform that you plan to generate "time series"
this may be done with the command 'setobs' in this way:
'setobs 1 1 --time-series'
the first number is the seasonal periodicity (1 if you are making
simulated data) the second one determines which is the first
observation. The parameter --time-series makes posiible to use some
gretl features specific for time series.
Your script with these two commands works here.
# seed
set seed 89675430
# Generate an AR(3) process
scalar rho1 = 0.5
scalar rho2 = -0.3
scalar rho3 = 0.2
loop 1000
# build stationary AR(3) error process for u
series u = 0
series e = normal()
u = rho1*u(-1) + rho2*u(-2) + rho3*u(-3) + e
endloop
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--
Ignacio Díaz-Emparanza
Departamento de Economía Aplicada III (Econometría y Estadística)
Universidad del País Vasco - Euskalherriko Unibertsitatea, UPV/EHU
Tfno: (+34) 94 601 3732
http://www.ehu.eus/ea3
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3 comments
4 participants
participants (4)
-
Ignacio Diaz-Emparanza -
Raul Gimeno -
Riccardo (Jack) Lucchetti -
Sven Schreiber