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st: Finding the minimal BIC after ARIMA estimation


From   dmuelle6@smail.uni-koeln.de
To   statalist@hsphsun2.harvard.edu
Subject   st: Finding the minimal BIC after ARIMA estimation
Date   Thu, 11 Aug 2011 13:00:01 +0200

Hey there,

we are wondering if there is a command to look for the minimal BIC
after ARIMA estimation.
We estimated ARIMA for different lags and time periods:

forvalues p=1/4{
arima actual_nfp, ar(`p') robust, if tin(1980m1, 1984m12)
estat ic
}
forvalues p=0/4{
arima actual_nfp, arima(`p',1,0) robust, if tin(1980m1, 1984m12)
estat ic
}

.
.
.
.

It would be helpfull if there is a command to let stata compare the
BIC values to get the best model without looking up every value "by
hand"...

I relly appreciate your help.

Kind regards

Daniela Müller

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