English, Article edition: ARMAROOTS: Stata module to compute roots of AR- and MA-polynomials Sune Karlsson

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Bookmark: http://trove.nla.gov.au/version/103851
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  • code
Language
  • English

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Title
  • ARMAROOTS: Stata module to compute roots of AR- and MA-polynomials
Author
  • Sune Karlsson
Physical Description
  • code
Notes
  • armaroots is for use after arima. It calculates the roots of the characteristic polynomials (which should be less than 1 in modulus for stationarity and invertibility). For complex roots the period of the corresponding cycle is also calculated. The roots are plotted on the unit circle for easy visual checking for roots that cancel in the AR- and MA-polynomials.
  • ARIMA, stability, stationarity, invertibility
  • RePEc:boc:bocode:s456924
Language
  • English
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