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st: goodness of fit measures in ARIMA


From   bgazley@arches.uga.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: goodness of fit measures in ARIMA
Date   Fri, 14 Jun 2002 11:31:44 -0500

Help!  I am a novice on both STATA and ARIMA models, but have found 
STATA more useful for time series analysis.  However, I need a little 
advice from the list-serv regarding STATA's goodness of fit measures for 
ARIMA models.  Where is the command for the Schwarz-Bayesian Criterion?  
Also, any opinions out there on best goodness of fit measures?  We have 
a weak autoregressive model and are using a (1,0,0) ARIMA model which 
seems to work (we have run Portmanteau and white noise statistics and 
are in the clear so far).  

Finally, what goodness of fit statistics would you report in an article? 

Given my beginner's status, I probably have mis-stated some of the 
above, and of course would be grateful for any gentle corrections on 
terminology!

Thanks in advance,

Beth Gazley
University of Georgia   


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