Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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 11:29:41 -0500

Mustafa,
     Let me elaborate the following:

If using the eststo comand, after installing estout, you could use

sysuse turksales, clear
tsset t
eststo one: arima sales, ar(1)
eststo two: arima sales, ar(1/2)

estout, stat(aic bic)


If you are not using that command, you could
just type, after running your arima models:

est stats _all


Regards,
        Bob Yaffee

----- Original Message -----
From: Robert A Yaffee <bob.yaffee@nyu.edu>
Date: Thursday, December 13, 2007 11:11 am
Subject: Re: st: ARIMA Order Selection
To: statalist@hsphsun2.harvard.edu


> 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
> > 
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/support/faqs/res/findit.html
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
> *
> *   For searches and help try:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2021 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index