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difem2
2011 Nov 22
1
Varma models in the dse package
Hi,
I tried to run the VARMA model in the dse package. I specified a model:
> arma
A(L) =
1+0.244L1 0+0.05L1
0-0.325L1 1-0.234L1
B(L) =
1-0.277L1 0+0.211L1
0-0.206L1 1+0.238L1
and have a TSdata object:
> dfdata
output data:
Series 1 Series 2
1 "difex2" "difem2"
but I get this warning message:
> estMaxLik(arma, dfdata)
Error in l.ARMA(setArrays(Shape, coefficients = coefficients), data, result
= "like", :
NA/NaN/Inf in foreign function call (arg 14)
In addition: Warning message:
In l.ARMA(setArrays(Shape, coefficie...