st: AIC and BIC values after ARIMA estimation

[Alejandro Mosiño <Alejandro.Mosino@univ-savoie.fr>]

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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