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

Abstract: 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.

Language: RATS
Requires: RATS 7.30
Keywords: ARIMA; models (search for similar items in EconPapers)
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