GMAUTOFIT: RATS procedure to perform automated ARIMA model selection (seasonal models)

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Does an automatic fit of a multiplicative seasonal ARMA model to a series following the procedure described in Gomez and Maravall, "Automatic Modeling Methods for Univariate Series", in Peña, Tiao and Tsay, eds., "A Course in Time Series Analysis", New York: Wiley, 2001.

Language: RATS
Requires: RATS 7.30
Keywords: ARIMA; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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