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Combining a VAR and a ARMA into a matrix
Posted: Sat Dec 10, 2016 11:06 am
by Emilie_R
Hello,
I want to combine a VAR model (with 2 variables) and an arma to forecast a serie.
I have this example :
Code: Select all
do time = prevstart,prevend-stepsahead
linreg(define=limpeq,noprint) limp estimstart time reslimp
# constant limp{1} lpib{0 2 3} dum200901
boxjenk(define=lpibeq,constant,ar=2,diffs=1,regressors,noprint) lpib estimstart time reslpib
# dum200804
vcv(matrix=v2,noprint)
# reslpib reslimp
group(vcv=v2) fullmodel lpibeq limpeq
forecast(model=fullmodel,from=time+1,to=time+stepsahead,stderrs=stderrs11,noprint,results=fore17)
compute rhat1(time+stepsahead)=fore17(2)(time+stepsahead)
end do
But, instead of the linreg, i have a VAR so i don't how how to create a matrix that combine those 2 models (VAR + ARMA).
Re: Combining a VAR and a ARMA into a matrix
Posted: Sat Dec 10, 2016 11:25 am
by Emilie_R
I am blocked here:
Code: Select all
compute estimstart = 2001:01
compute estimend = 2016:02
compute prevstart = 2001:01
compute prevend = 2016:02
compute stepsahead = 1
clear rhat1
do time = prevstart,prevend-stepsahead
system(model=varmodel1)
variables dlsalr dlipc
lags 1 to 4
det constant DUM200803 DUM200903
end(system)
estimate(residuals=reslsalr) estimstart time
BOXJENK(DIFFS=1,CONST,AR=2,MA=1,DEFINE=ARMA) LIPC estimstart time reslipc
# dum200804
vcv(matrix=v2,noprint)
# reslsalr reslipc
group(vcv=v2) fullmodel varmodel1 arma
forecast(model=fullmodel,from=time+1,to=time+stepsahead,stderrs=stderrs11,noprint,results=fore14)
compute rhat1(time+stepsahead)=fore14(2)(time+stepsahead)
end do
I have this message :
## SX22. Expected Type EQUATION or FRML[REAL], Got MODEL Instead
>>>>ullmodel varmodel1 <<<<
Re: Combining a VAR and a ARMA into a matrix
Posted: Sun Dec 11, 2016 4:55 pm
by TomDoan
GROUP takes EQUATIONS or FRML's not MODELs as parameters. Instead, eliminate the GROUP instruction and "add" the ARMA to your model,
forecast(model=varmodel1+arma,from=time+1,to=time+stepsahead,stderrs=stderrs11,noprint,results=fore14)
Re: Combining a VAR and a ARMA into a matrix
Posted: Mon Dec 12, 2016 4:19 am
by Emilie_R
I checked the detailled instruction in your website so i knew it wasn't going to work but i didn't find any alternative: I didn't know it was possible to simply cumulate models with that instruction!!
And it works perfectly.
Thank you again
