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st: Calculating the roots of an ARIMA model


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
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.

Reason:
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

Eric de Souza
College of Europe
Brugge (Bruges)
Belgium


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