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Re: st: ARIMA Order Selection


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ARIMA Order Selection
Date   Thu, 13 Dec 2007 11:10:27 -0500

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 <Mostafa.Baladi@qrm.com>
Date: Thursday, December 13, 2007 10:36 am
Subject: st: ARIMA Order Selection
To: statalist@hsphsun2.harvard.edu


> 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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