st: Re: AIC and BIC values after ARIMA estimation

[Alejandro Mosiño <Alejandro.Mosino@univ-savoie.fr>]

Thank you very much for your answer,

Actually yes, i cheked the signs. They are all negatives, so... believe 
me, that's is not the problem.

I understand that AICs and BICs are not comparable across software, but 
i think the decision of what model to choose should be (if not equal) 
very similar. In my particular case, i'm using data for the yen / dollar 
exchange rate. The results using Eviews are published in a book by 
Francis X. Diebold (Elements Forecasting, chapter 13). I replicated the 
analysis using the same data (that you can download from the author's 
web page or the book's companion site) on Gretl and Stata. As i told 
you, Gretl is giving me similar results, but Stata does not.

I'm a big fan of Stata, so, i don't know. Maybe there is another way of 
computing AIC and BIC. Any suggestions?

Best,

Alejandro






El 27/01/2011 04:18 p.m., Maarten buis escribió:
> --- On Thu, 27/1/11, Alejandro Mosiño wrote:
> > I have this problem. I'm selecting ARIMA models by using
> > AIC and BIC criteria. However, i got very different results
> > from different softwares (Eviews, Gretl and Stata). In one
> > case for instance, Gretl and Eviews tell me that the right
> > model is an ARMA(2,0), while Stata tells me that it is an
> > ARMA(2,2). Another example, Gretl and Eviews tell me that
> > some other model should be an ARIMA(1,1,0), while Stata
> > tells me that the right model is an ARIMA(0,1,1).
> >
> > Then, while Gretl and Eviews agree, Stata gives me VERY
> > different results. Do you know why?
> The absolute numbers for (log) likelihood values and thus
> BICs and AICs are often not comparable across software.
> There is often a term in the likelihood function that does
> not depend on the parameters, and programmers can choose
> to leave that term in or out without changing the maximum.
>
> Did you check the sign and adjusted what you call small
> and large accordingly (it may sound like a silly mistake
> to make, but you do not want to know (and I do not want to
> tell) how often I made a mistake like that...)
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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