ARMA simulation and estimation

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lily
lily on 11 Apr 2015
Answered: Hang Qian on 14 Apr 2015
Hi, I am trying to simulate and estimate the following ARMA(2,1) using the econometrics toolbox:
MdlSim = arima('Constant',0 ,'AR',{1.1, -0.28},'MA',0.4, 'Variance',1);
rng 'default';
Y = simulate(MdlSim,10000, 'NumPaths', 1000);
Mdl = arima(2,0,1);
[EstMdl,EstParamCov] = estimate(Mdl,Y,'print',false);
print(EstMdl,EstParamCov)
But it gives back the error message "Error using arima/estimate (line 224) Input response series data must be non-empty and a column vector."
If I try for only path ('NumPaths', 1), it works fine. I don't understand what I need to change in order to simulate 1000 paths. Does anyone know how to specify this properly?

Answers (1)

Hang Qian
Hang Qian on 14 Apr 2015
The ESTIAMTE method of ARIMA does not accept multiple paths of data. Instead, we may estimate the model path by path using a FOR loop.
For example,
for m=1:100; estimate(Mdl,Y(:,m),'print',false); end
Thank you,
Hang Qian

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