*! version 1.0 2023/02/21

help for eacf (Github)

Extended Sample Autocorrelation Function

Syntax

eacf varlist [if] [in],
[
ar(integer)
ma(integer)
]

Description

eacf calculates and displays the EACF table, used to specify the order of AR and MA for stationary and nonstationary ARMA models.

Options

ar(integer) max autoregressive term. Default is 7.

ma(integer) max moving-average term. Default is 13.

Examples

Setup

. use seriesA.dta

. tsset time

Calculate EACF Tables

. eacf dataA

. eacf dataA, ar(5)

. eacf dataA in 1/150, ar(3) ma(6)

Stored results

Matrices

r(symbol) x&o Table derived from r(seacf) of size (ar+1)x(mr+1)

r(seacf) EACF Table of size (ar+1)x(mr+1)

References

Tsay, Ruey S., and George C. Tiao. "Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models." Journal of the American Statistical Association, vol. 79, no. 385, 1984, pp. 84–96.

Acknowledgements

Algorithm in eacf.R from The R Package "TSA" by K.S. CHAN, department of statistics and actuarial science, University of IOWA, is referred.

Author

H.W. Zheng

Github: https://github.com/TlightZ.

Email: zhenghw25@mail2.sysu.edu.cn.