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st: AIC and BIC values after ARIMA estimation


From   Alejandro Mosiño <[email protected]>
To   [email protected]
Subject   st: AIC and BIC values after ARIMA estimation
Date   Thu, 27 Jan 2011 10:53:56 +0100

Hello,

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?

Thank you,

Alejandro
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