MATLAB: How to define some orders in ARIMA

Econometrics ToolboxMATLABtime series

I want to define an ARIMA(1,0,8) but I only want the model to find the optimal values for first and last MA orders in a way that for MA component orders from 2 to 7 are zero.How should I change the following function?

model = arima(p,0,q);

Best Answer

This should do the trick:

arima('ARLags',1,'MALags',[1 8])

ans =

    ARIMA(1,0,8) Model:
    --------------------
    Distribution: Name = 'Gaussian'
               P: 1
               D: 0
               Q: 8
        Constant: NaN
              AR: {NaN} at Lags [1]
             SAR: {}
              MA: {NaN NaN} at Lags [1 8]    <--------
             SMA: {}
        Variance: NaN

http://www.mathworks.com/help/econ/arimaclass.html

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MATLAB: ARIMA BIC LOOP including “zero”

If you changed the loop to start at 0, you are trying to index LOGL and PQ at the index 0 which does not exist. MATLAB starts indexing at 1.

First pre-allocate the additional space:

LOGL = zeros(5,5);
PQ = zeros(5,5);

Error:

for p = 0:4
      for q = 0:4
          mod = arima(p,0,q);
          [fit,~,logL] = estimate(mod,eur,'print',false);
          LOGL(p,q) = logL;
          PQ(p,q) = p+q;
      end 
  end

So increase the indices by 1.

No Error:

   for p = 0:4
        for q = 0:4
            mod = arima(p,0,q);
            [fit,~,logL] = estimate(mod,eur,'print',false);
            LOGL(p+1,q+1) = logL; % Index at the next row/col

            PQ(p+1,q+1) = p+q; % Index at the next row/col
        end 
    end

Bear in mind that now the log-likelihood of the ARIMA(2,0,3) model is in LOGL(3,4)

Best Answer

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