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Box-Jenkins ARIMA Analysis in Eviews by Dimpho Sonjani-Sibiya is a document available to read on EtoBox.
What is Box-Jenkins ARIMA Analysis in Eviews about?
The document describes identifying an ARMA model for UK GDP data in Eviews. It involves: 1) Calculating the ACF and PACF of raw GDP data which shows no decay, suggesting the series is integrated; 2) Taking logs and first differences of GDP to make it stationary, then calculating the ACF and PACF of the differenced series; 3) The differenced series ACF/PACF suggests ARIMA(1,0,1), ARIMA(1,0,2), or ARIMA(1,0,3) models; 4) The three models are estimated and their results presented.
- Author
- Dimpho Sonjani-Sibiya
- Language
- EN