What'sBest!9.0.0.0(May26,2006)Library4.1.1.

60StatusReport
DATEGENERATED:

Jun09,2006

11:06PM

MODELINFORMATION:
CLASSIFICATIONDATACurrentCapacityLimits

Numerics205
Variables300
Adjustables2Unlimited
Constraints0Unlimited
Integers/Binaries0/0Unlimited
Nonlinears100Unlimited
Coefficients890
Minimumcoefficientvalue:0.096162660269568on<RHS>
Minimumcoefficientinformula:ARMA_Model!D90
Maximumcoefficientvalue:5.0977886053265on<RHS>
Maximumcoefficientinformula:ARMA_Model!D55
MODELTYPE:Nonlinear
SOLUTIONSTATUS:LOCALLYOPTIMAL
OPTIMALITYCONDITION:SATISFIED
OBJECTIVEVALUE:102.63880960566
DIRECTION:Minimize
SOLVERTYPE:Multistart
TRIES:46
INFEASIBILITY:2.2204460492503e015
BESTOBJECTIVEBOUND:...
STEPS:...
ACTIVE:...
SOLUTIONTIME:0Hours0Minutes15Seconds
ERROR/WARNINGMESSAGES:
***WARNING***
NoConstraintCells(HelpReference:NOCONST):

Thesolverrecognizednovalidconstraints.Themodeleithercontained
noconstraintfunctionsoronlyconstraintfunctionsthatdidnotdepend
onanyadjustablecells.Ifthemodelwasdevelopedforanearlier
versionofWhat'sBest,theconstraintsmayneedtobeconvertedtothe
currentformatforconstraintfunctions.
***WARNING***
NonlinearitiesPresent(HelpReference:NLINCELL):
Thecellsbelowcontainnonlinearexpressions.Ifthesecellsareusedonlyfor
reporting,then,forefficiency,theyshouldbeincludedinaWBOMITrange(refer
todocumentation).Insomecases,nonlinearcellsmaybelinearizedautomatically
bytheLinearizationoptionthatissetintheGeneralOptionsdialogbox.This
warningcanbeturnedoffwiththeNonlinearityPresentcheckboxinthe
GeneralOptionsdialogbox
(celladdresseslistedatbottomoftab).
LISTING:
***WARNING***
Listofnonlinearcells:
ARMA_Model!E12
ARMA_Model!C13
ARMA_Model!E14
ARMA_Model!C15
ARMA_Model!E16
ARMA_Model!C17
ARMA_Model!E18
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EndofReport

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ARMA_Model!E73
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ARMA_Model!E109

usedonlyfor
MITrange(refer
edautomatically
alogbox.This

ARMA_Model!C14
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ARMA(1,1) Model
Given a series of stationary observations, we want to estimate the data generation process as a
first order autoregressive moving average model (i.e. ARIMA(p,q,d), where p =1, q =1, & d =0).
Keywords: ARMA, Autoregressive, Moving Average, Box-Jenkins Modeling, Forecasting, Time Series, Econometrics;
Reference: Box, G. E. P. and Jenkins, G. M., (1976). Time Series Analysis: Forecasting and Control
Revised Edition, Oakland, CA: Holden-Day.
Sum

OBS
1
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Y
1.2917
3.5004
2.1595
2.2476
2.2791
2.3501
1.2491
0.9596
1.2070
0.1668
1.7344
2.2364
1.2486
0.9625
1.1692
0.5222
0.1332
-0.9306
-1.6075
-1.2627
-0.7017
-0.1863
0.7818
-0.3060
-1.1446
2.0878
2.9783
2.6029
2.0518
2.0513
2.0228
2.4930
1.5925
-0.8981
-1.8609
-1.1032
-1.6277
-2.0150
-0.8556
0.7111
0.5460
-1.8696

AR(1)
1.00069
4.01409
0.70676
2.54406
1.62765
2.19709
0.47383
0.99653
1.04469
-0.32815
2.41820
1.63792
0.76444
0.84883
1.07271
0.11778
0.11128
-1.26377
-1.42448
-0.89394
-0.44349
-0.01032
1.01841
-0.92709
-1.00008
3.22623
2.17811
2.23783
1.49258
1.88030
1.64134
2.37508
0.82599
-1.59394
-1.58079
-0.60581
-1.79337
-1.67654
-0.23518
1.04395
0.16351

MA(1)
0
2.49967
-1.85460
1.54088
-0.26494
0.72248
-0.94797
0.48579
0.21044
-0.87789
2.06253
-0.18175
-0.38935
0.19804
0.32037
-0.55048
0.01546
-1.04189
-0.34376
0.16178
0.19222
0.25721
0.79216
-1.32443
-0.21752
3.08790
-0.24797
0.42480
-0.18608
0.55875
0.14250
0.85167
-0.78260
-1.72404
-0.26699
0.47762
-1.02187
-0.22164
0.82091
0.94632
-0.49800
-2.03308

Squared

Squared

Error

Error

6.24835 102.63881
3.43954
2.37430
0.07019
0.52198
0.89864
0.23599
0.04428
0.77070
4.25401
0.03303
0.15159
0.03922
0.10264
0.30303
0.00024
1.08553
0.11817
0.02617
0.03695
0.06615
0.62752
1.75411
0.04732
9.53511
0.06149
0.18045
0.03463
0.31221
0.02031
0.72534
0.61247
2.97233
0.07128
0.22812
1.04422
0.04912
0.67389
0.89552
0.24800
4.13341

*The yt sequence is generated by the following equatio

yt = 0.8*yt-1 + et + 0.5*
where et is a white noise process.
Estimated Coefficients
beta1 0.77472
beta2 0.52099

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-3.6289
-4.6495
-5.0978
-3.7238
-2.3313
-2.1059
-1.8917
-0.1741
0.9772
1.0886
2.4414
2.4165
2.0329
4.1258
4.6994
2.2527
0.7085
-0.3594
0.2274
1.8346
1.8761
1.1064
1.2244
3.4141
3.8930
3.5768
4.3147
2.7332
0.7583
1.0578
3.5289
2.9725
1.3378
-0.5782
-2.5251
-1.6901
-0.7604
0.0962
-0.2874
-1.1905
-1.1759
-1.4709
-0.3338
-0.4421
-0.1759
0.7921
-1.2252
-2.3355
-2.8041
-2.5469
-1.9339
-0.5551
-0.6846
-1.0207

-2.50760
-3.39550
-4.25533
-4.38825
-2.53872
-1.69809
-1.84399
-1.49033
0.55081
0.97925
0.90031
2.69424
1.72744
1.73410
4.44231
3.77470
0.95231
0.42183
-0.68545
0.65169
2.03761
1.36934
0.72016
1.21131
3.79264
3.06828
3.03600
4.00886
1.45279
0.22560
1.25302
3.91959
1.80937
0.79073
-1.16117
-2.66687
-0.80041
-0.56825
0.42065
-0.59153
-1.23436
-0.88057
-1.44711
0.32144
-0.74026
0.15780
0.94406
-2.07930
-1.94284
-2.62108
-1.93444
-1.49799
0.06125
-0.91900

-1.12126
-1.25398
-0.84245
0.66445
0.20737
-0.40785
-0.04766
1.31619
0.42643
0.10934
1.54105
-0.27771
0.30549
2.39165
0.25713
-1.52195
-0.24384
-0.78123
0.91280
1.18294
-0.16148
-0.26294
0.50427
2.20283
0.10038
0.50857
1.27870
-1.27570
-0.69453
0.83217
2.27587
-0.94713
-0.47157
-1.36895
-1.36396
0.97681
0.04001
0.66441
-0.70804
-0.59897
0.05843
-0.59035
1.11332
-0.76351
0.56440
0.63426
-2.16923
-0.25621
-0.86126
0.07421
0.00050
0.94294
-0.74589
-0.10167

1.25723
1.57245
0.70973
0.44149
0.04300
0.16634
0.00227
1.73235
0.18184
0.01196
2.37483
0.07712
0.09333
5.71999
0.06612
2.31634
0.05946
0.61032
0.83320
1.39934
0.02608
0.06914
0.25429
4.85246
0.01008
0.25864
1.63508
1.62741
0.48237
0.69250
5.17957
0.89705
0.22238
1.87403
1.86039
0.95415
0.00160
0.44144
0.50133
0.35876
0.00341
0.34851
1.23949
0.58294
0.31854
0.40228
4.70555
0.06564
0.74176
0.00551
0.00000
0.88913
0.55635
0.01034

97
98
99
100

-2.4615
-4.1943
-4.4779
-4.6783

-0.84370
-2.74979
-4.00202
-3.71709

-1.61778
-1.44455
-0.47593
-0.96118

2.61721
2.08672
0.22651
0.92387

g, Time Series, Econometrics;

g and Control,

enerated by the following equation:

+ et + 0.5*et-1

a white noise process.