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How to Simulate an MA(1) with theta = -0.9

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How to Simulate an MA(1) with theta = -0.9

In Cryer and Chan's text Time Series Analysis With Applications in R, they simulate an MA(1) with different values of theta (say theta =-0.9).  How to do that in SAS studio?  Thanks.


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‎02-14-2018 09:02 AM
SAS Super FREQ
Posts: 4,165

Re: How to Simulate an MA(1) with theta = -0.9

Posted in reply to Kboukaabar

If you have SAS/IML software, the easiest way is to use the ARMASIM function, which simulates, AR models, MA models, and combined ARMA models.

 

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‎02-14-2018 09:02 AM
SAS Super FREQ
Posts: 4,165

Re: How to Simulate an MA(1) with theta = -0.9

Posted in reply to Kboukaabar

If you have SAS/IML software, the easiest way is to use the ARMASIM function, which simulates, AR models, MA models, and combined ARMA models.

 

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