[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Calculating the roots of an ARIMA model

From   DE SOUZA Eric <>
To   "''" <>
Subject   st: Calculating the roots of an ARIMA model
Date   Thu, 31 Dec 2009 20:52:11 +0100

I am looking for a Stata routine to calculate the roots of an ARIMA model.

I found ARMAROOTS but this is not exactly what I want.

Take an arima(0,1,1) x sarima(0,1,1,12)
which is Box and Jenkins airline model (in logs)
There is one non-seasonal root and one seasonal root
However, ARMAROOTS treats it as an MA(13) - which, of course, it is - and calculates 13 roots.


Eric de Souza
College of Europe
Brugge (Bruges)

*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index