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

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!

Answer 1

[Hang Qian]

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

Answer 2

[Andrea De Polis]

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