ARMAROOTS: Stata module to compute roots of AR- and MA-polynomials
Abstractarmaroots 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.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S456924.
Programming language: Stata
Requires: Stata version 9
Date of creation: 07 Apr 2008
Date of revision:
Note: This module should be installed from within Stata by typing "ssc install armaroots". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
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