ARMAROOTS: Stata module to compute roots of AR- and MA-polynomials

Sune Karlsson (sune.karlsson@oru.se)

Statistical Software Components from Boston College Department of Economics

Abstract: armaroots 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.

Language: Stata
Requires: Stata version 9
Keywords: ARIMA; stability; stationarity; invertibility (search for similar items in EconPapers)
Date: 2008-04-07
Note: This module should be installed from within Stata by typing "ssc install armaroots". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/armaroots.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/armaroots.hlp help file (text/plain)

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