After using Boxjen to estimate ARIMA(p,1,q), I DISPLAY the equation defined in the model. Notice the constant is different from estimate while the coefficients are the same.
Why?
How does @armadlm transform ARIMA into statespace form? I would like to use drawn parameters for adlm and fdlm to replace those generated by @armadlm(a=adlm,f=fdlm) equation
BoxJenk
Re: BoxJen
That's explained in the description of BOXJENK. BOXJENK estimates the model in a form where the CONSTANT is the mean of the process, not the intercept in the reduced form needed in the equation form.ivory4 wrote:After using Boxjenk to estimate ARIMA(p,1,q), I DISPLAY the equation defined in the model. Notice the constant is different from estimate while the coefficients are the same. Why?
That's explained in quite a bit of detail in the comments in the procedure file. I would just reset the coefficients for the ARMA equation (use %eqnsetcoeffs) and apply ARMADLM to the result; nothing that you would do would be any different.ivory4 wrote:How does @armadlm transform ARIMA into statespace form? I would like to use drawn parameters for adlm and fdlm to replace those generated by @armadlm(a=adlm,f=fdlm) equation