*! version 1 12sep2020
help arimasel

Title

arimasel Selection criteria for ARMA(p,q) models

Syntax

arimasel varname [if] [in] [,
AR(integer)
MA(integer)
ITER(integer)
MATrix()string)
GRAPH]

You must tsset your data before using ersur; see [TS] tsset.

varname may contain time-series operators; see tsvarlist.

Sample may not contain gaps.

Description

arimasel computes selection criteria for ARMA(p,q) models using arima(p,0,q)
for p and q up to specified limits. To fit a model such as arima(p,1,q), specify D.varname.

For each model, the program displays the values of p, q, the log-likelihood, the AIC
and the SIC criteria for model selection, using the arimafit package from SSC.
If a model does not converge in the specified number of iterations, the results table
displays missing values for the criteria.

Options

ar(integer) sets the maximum AR order of the ARMA models to be fit. If not specified,
a default of 3 is used.

ma(integer) sets the maximum MA order of the ARMA models to be fit. If not specified,
a default of 3 is used.

iter(integer) sets the maximum number of iterations to be used. If not specified,
a default of 100 is used.

matrix(string) specifies the name of a matrix into which the displayed results
are stored in the return list.

graph specifies that the LLF, AIC and SIC values should be graphed, and their extreme
value identified.

Stored results

arimasel stores the following in r():

Scalars

r(N) total number of observations available

r(maxllf) model number of maximum log-likelihood

r(minaic) model number of minimum AIC

r(minsic) model number of minimum SIC

Examples

. webuse wpi1

. arimasel D.wpi

. arimasel D.wpi, ar(4) matrix(arma_results)

. arimasel D.wpi, ar(4) graph

Author

Christopher F. Baum

Boston College

Chestnut Hill, MA USA

baum@bc.edu