Matlab arima estimate error

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Ki Lung Kwok
Ki Lung Kwok on 12 Jul 2017
Answered: Hang Qian on 30 Aug 2017
I am working on fitting a time series of data using arima model. I applied the AIC BIC selection process by looping the P and Q order from 0 to 4 for each one. However I found that in some iterations the model fitted is not corresponding to the model that I set. For example when I created a mod of ARIMA(3,0,1) by "mod=arima(3,0,1)" and then I estimate it using "estimate(mod,Y)", it gave me a fitting of ARIMA(0,0,1), which is not the one I expected. So turns out it gives the same AIC and BIC as the one fitted with ARIMA(0,0,1) and hence failed to select the right model.
Your help is appreciated.

Answers (1)

Hang Qian
Hang Qian on 30 Aug 2017
I guess that the lower bound constraints become effective under some model specifications. When the estimated model has a reduced order, the higher order coefficients might be zeros. When reduction occurs, I think there will be some warning messages shown on the screen.

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