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Re: st: AIC and BIC values after ARIMA estimation


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: AIC and BIC values after ARIMA estimation
Date   Thu, 27 Jan 2011 15:18:23 +0000 (GMT)

--- On Thu, 27/1/11, Alejandro Mosiño wrote:
> 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?

The absolute numbers for (log) likelihood values and thus
BICs and AICs are often not comparable across software. 
There is often a term in the likelihood function that does 
not depend on the parameters, and programmers can choose
to leave that term in or out without changing the maximum.

Did you check the sign and adjusted what you call small
and large accordingly (it may sound like a silly mistake
to make, but you do not want to know (and I do not want to 
tell) how often I made a mistake like that...)

Hope this helps,
Maarten

--------------------------
Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
Germany

http://www.maartenbuis.nl
--------------------------


      

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