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Re: st: Finding the minimal BIC after ARIMA estimation


From   Oliver Jones <ojones@wiwi.uni-bielefeld.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Finding the minimal BIC after ARIMA estimation
Date   Fri, 12 Aug 2011 18:29:37 +0200

I don't know Stata very good and therefore I am no help in telling
you that I don't know such a command.
The only solution I would try is to save the BIC together with the
ARIMA specification in a matrix and then let Stata print out
the minimum value of BIC together with the ARIMA Specification.

Look in the help files, and the end of them you find where Stata
saves all the results you need.

Best
Oli


Am 11.08.2011 13:00, schrieb dmuelle6@smail.uni-koeln.de:
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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