ARAUTOLAGS: RATS procedure to compute information criteria for AR models using Yule-Walker or Burg
Tom Doan ()
Statistical Software Components from Boston College Department of Economics
Computes an information criterion for various lags of AR processes using the Burg or Yule estimates of the partial autocorrelations. Identifies the best choice for the given criterion.
Requires: RATS 7.30
Keywords: ARIMA; models (search for similar items in EconPapers)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rts00008
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