Dear Mustafa,
There are several means by which to obtain model comparisons via functions of the
model likelihood or information criteria with Stata time series. I will proffer a simple one here.
First, install estout from the ssc archive
with the ssc install estout command.
Then type: sysuse turksales
tsset t
eststo: arima turksales, ar(1)
eststo: arima turksales, ar(1/2)
To obtain your model comparisons with AIC and BIC, then
type:
est stats _all
I hope this helps,
Robert Yaffee
----- Original Message -----
From: Mostafa Baladi <[email protected]>
Date: Thursday, December 13, 2007 10:36 am
Subject: st: ARIMA Order Selection
To: [email protected]
> Hello to Everyone,
>
> I am very new to STATA and this is my first question posed to the group.
> Sorry if it is not an exciting question or if it is too easy.
>
> I need to find the best ARIMA based on some criterion (log likelihood
> or
> whatever) within a range of p and q.
> Would anybody be nice enough to give some advice (no matter how general)
> on this?
>
> Your help is greatly appreciated.
>
> Thanks,
>
> Mostafa Baladi
>
> *
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*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
