Estimate ARMA(1,1) using estimate: Parameter AR(1) is missing

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Boka Li
Boka Li 2016-2-28
回答： Andrea De Polis 2019-1-24
Hi, everyone
I want to fit an ARMA(1,1) Model without constant to a time series of returns (y).
estimate(arima('ARLag',1,'MALag',1,'Constant',0),y)
The result shows like:
ARIMA(0,0,1) Model:
--------------------
Conditional Probability Distribution: Gaussian
Standard t
Parameter Value Error Statistic
----------- ----------- ------------ -----------
Constant 0 Fixed Fixed
MA{1} -0.0111097 1.40704 -0.00789581
Variance 0.000441102 8.76368e-06 50.3329
ans =
ARIMA(0,0,1) Model:
--------------------
Distribution: Name = 'Gaussian'
P: 0
D: 0
Q: 1
Constant: 0
AR: {}
SAR: {}
MA: {-0.0111097} at Lags [1]
SMA: {}
Variance: 0.000441102
Why is the AR term missing? I had tried to fit same data with same ARMA(1,1) model in other statistic software and it worked well.
Actually, I faced same problem while I was trying to fit other data with different ARMA model.
Why is this happened?
I was using Econometrics Toolbox for MATLAB R2014a.
Thanks in Advance!

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回答（2 个）

Hang Qian
Hang Qian 2016-3-11
The problem appears unusual. I tried your codes
estimate(arima('ARLag',1,'MALag',1,'Constant',0),y)
However, the software always returns a ARIMA(1,0,1) Model.
Did you see any warning messages during estimation? If the program did return a ARIMA(0,0,1), may I suggest submitting a customer support request? Thank you.
Hang Qian
Andrea De Polis
Andrea De Polis 2019-1-24
Hi, I have the same exact problem. No warning shows on dysplay, but the estimated model is an arima(0, 0, 1).
I tried with an arima(2, 0, 1) and everythng works out fine.
This problem persists on both Matlab 2018b and 2017b.
Any help?
Best,
Andrea

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