I want to estimate a ARFIMA model of realised volatility using real series (not simulated ones) . Here is my code.
proc iml;
use square;
read var{square}into exper ;
lag=(0:5);
d=0.4;
phi=0.5;
ma=0.3;
sigma=0.06;
call farmafit(d,phi,ma,sigma,exper);
Sas generate a error saying insufficient number of observations. I have 787 observation for this time series.
Anybody know why? Thank you in advance.
My guess is that you don't have 787 observations. You have 1 (which is certainly insufficient). Print the number of rows for expe like thisr:
print "number of rows=" (nrow(exper));
You might also try the following example and report what happens:
proc iml;
use sashelp.air;
read all var{air} into exper;
close sashelp.air;
call farmafit(d,phi,ma,sigma,exper);
print d, phi, ma, sigma;
My guess is that you don't have 787 observations. You have 1 (which is certainly insufficient). Print the number of rows for expe like thisr:
print "number of rows=" (nrow(exper));
You might also try the following example and report what happens:
proc iml;
use sashelp.air;
read all var{air} into exper;
close sashelp.air;
call farmafit(d,phi,ma,sigma,exper);
print d, phi, ma, sigma;
Thank you for your response. I have tried print "number of rows=" (nrow(exper)); using sashelp.air;
The return number is 144. The estimation of the ARFIMA on sashelp.air reports d=1.15 phi ma don't exist. sigma=1118.
I meant for you to print the number of rows for your example, not for mine.
I will post it tomorrow if that is okay for you as it is pretty late in UK.
Thank you so much Rick. I have solved my issue. Unfortunately there is no long memory feature of my series.
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