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SIM_ARMA: Stata module to simulate data for ARMA processes

Author

Listed:
  • Jeff Pitblado

    (StataCorp LP)

Programming Language

Stata

Abstract

sim_arma is a random number generator for the ARMA(p,q) model. For more information, see A. McDowell, Stata Journal 4:2, 180-189. The routine should be installed with the "net from" command in Stata.

Suggested Citation

  • Jeff Pitblado, 2004. "SIM_ARMA: Stata module to simulate data for ARMA processes," Statistical Software Components S445301, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s445301
    as

    Download full text from publisher

    File URL: https://www.stata.com/users/jpitblado
    File Function: link to program code
    Download Restriction: no
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    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Simulating an ARMA Process using STATA
      by Wayne Cain in econ trek on 2011-03-28 21:39:00

    More about this item

    Keywords

    Box-Jenkins; ARMA; ARIMA; Stata;
    All these keywords.

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