MAAUTOLAGS: RATS procedure to compute Information Criteria for MA models using innovations algorithm

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: @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.

Language: RATS
Requires: RATS 7.30
Keywords: ARIMA; models (search for similar items in EconPapers)
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http://www.estima.com/procs_perl/maautolags.src (text/plain)

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