Henrique, I think you could write the ARMA model in state-space form and computing eigenvalues of that. For example, suppose that you have a series y, modeling as AR(3)
arima 3 0 0; y b=$coeff c=I(2)~zeros(2,1) A=b' | c d=eigenvalue(A) In this case you need that elements in d must be inside unit circle. Rodrigo. 2012/1/31 Henrique Andrade <henrique.coelho(a)gmail.com>: > Dear Gretl Community, > > Is there any way to retrieve the roots of an ARIMA model? Is there an > accessor that allows this kind of operation? > > My aim goal is to build an automatic ARIMA modelling script that saves only > the models with signicant parameters and roots outside the unit circle. > > Many thanks, > Henrique Andrade > _______________________________________________ > Gretl-users mailing list > Gretl-users(a)lists.wfu.edu > http://lists.wfu.edu/mailman/listinfo/gretl-users
