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MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm
Tom Doan Statistical Software Components from Boston College Department of Economics
@MAAutoLags computes an information criterion for various lags of MA processes using the innovations algorithm, finding the "optimal" choice under that criterion and (optionally) producing a table with the values for all lags.
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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Downloads: (external link) http://www.estima.com/procs_perl/maautolags.src (text/plain)
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rts00113
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