@REGACFIT

Econometrics questions and discussions

@REGACFIT

Unread postby ac_1 » Fri Mar 11, 2022 2:26 am

Hi Tom,

From BOXJENK the residuals are automatically saved in the series %RESIDS.

I can use @REGCRITS after BOXJENK (and LINREG...), to display various information criteria.

Projected (fitted) values can be computed using PRJ.

Can I use @REGACFIT after BOXJENK?

thanks,
Amarjit
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Re: @REGACFIT

Unread postby TomDoan » Fri Mar 11, 2022 7:59 am

Doesn't it work just fine? @REGACTFIT computes fitted values as dependent minus residuals which applies to ARIMA models as well.
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Re: @REGACFIT

Unread postby ac_1 » Fri Mar 11, 2022 8:06 am

TomDoan wrote:Doesn't it work just fine? @REGACTFIT computes fitted values as dependent minus residuals which applies to ARIMA models as well.


Yes it does, however https://estima.com/ratshelp/index.html?regactfitprocedure.html does not explicitly mention BOXJENK.
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Re: @REGACFIT

Unread postby TomDoan » Fri Mar 11, 2022 11:29 am

Because the "act-fit" part rarely has any usefulness in ARIMA models. Either the fit is indistinguishable from the actual (if the original series is non-stationary), or the fit is indistinguishable from the process mean (if the original series is stationary).
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