================================================================== The gateway between this list and the sci.stat.edu newsgroup will be disabled on June 9. This list will be discontinued on June 21. Subscribe to the new list EDSTAT-L at Penn State using the web interface at http://lists.psu.edu/archives/edstat-l.html. ================================================================== . Dick Startz <[EMAIL PROTECTED]> wrote in message news:<[EMAIL PROTECTED]>... > The problem is that you are estimating an ARIMA(0,1,0) model as > ARMA(2,2). The model you are estimating is equivalent to > > (y-y(-1)) = epsilon. > > This model can also be represented as an ARMA(2,2) where the first AR > coefficient is 1+alpha, the second AR and the first MA coefficient is > minus alpha and the second MA coefficient equals zero, for arbitrary > alpha. > > By the way, when the AR coefficients add to one the model is said to > be nonstationary, not non-invertible. > > Out of curiosity, is the original data an asset price? > > -Dick Startz > > On 12 Jun 2004 09:56:58 -0700, [EMAIL PROTECTED] (David Reilly) wrote: > > >[EMAIL PROTECTED] (Bush will disarm all workers next) wrote in message news:<[EMAIL > >PROTECTED]>... > >> Ran summary.arma(arma(inp, order=c(2,2))) on a timeseries data set and > >> generated these results: > >> > >> > >> Call: > >> arma(x = inp, order = c(2, 2)) > >> > >> Model: > >> ARMA(2,2) > >> > >> Residuals: > >> Min 1Q Median 3Q Max > >> -0.40833 -0.37282 -0.33614 -0.06072 60.63911 > >> > >> Coefficient(s): > >> Estimate Std. Error t value Pr(>|t|) > >> ar1 1.9484320 NA NA NA > >> ar2 -0.9486320 NA NA NA > >> ma1 -0.9577766 NA NA NA > >> ma2 -0.0009986 0.0503448 -0.02 0.984 > >> intercept 0.0382860 NA NA NA > >> > >> Fit: > >> sigma^2 estimated as 10.01, Conditional Sum-of-Squares = 3945.79, > >> AIC = 2051.33 > >> > >> How are the coefficients interpreted? Is there a way to > >> predict/forecast? > >> > >> Thanks > >> Dakshin > > > > > >Dakshin, > > > >There is no need to interpret thos model as it is non-invertible and > >thus an invalid model > > > > > >By inspection the two ar coefficients when added together are just > >about 1.0 which indicates non-invertibilty. > > > > ar1 1.9484320 NA NA NA > >> ar2 -0.9486320 NA NA NA > > > > > >Older programs just simply fitting senseless AR/MA structures are to > >be avoided like the plague. Programs that simply fit higher and higher > >orders that don't test for invertibility are to be studiously avoided. > > > >Perhaps you might want to get some freeware , which actually verbally > >describes the equation ....http://www.autobox.com/freef.exe ..The > >program is called FreeFore . It is so much fun to play with that many > >users have suggested the name ForePlay ! (LOL !) > > > > > >hope this helps .. > > > >David P. Reilly > >AUTOMATIC FORECASTING SYSTEMS > > > >215-675-0652 > > > >P.S. For some details on FreeFore click on > >http://www.autobox.com/ffpro.doc > > > >for other info please see > >http://www.autobox.com/pdfs/whytheyswitched.pdf > > ---------------------- > Richard Startz [EMAIL PROTECTED] > Lundberg Startz Associates
Richard , My literature search on the aside ..... >From page 51 of the Box-Jenkins text (1969) in terms of the pi weights pi(B)Z(t) = a(t) is invertible if the weights pi(i) are such that the series pi(B) converges on or within the unit circle. In this example they do not thus the model is said to be non-invertible . Dave Reilly
