ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model

Christopher Baum ()

Statistical Software Components from Boston College Department of Economics

Abstract: -arimafit-, based on -mlfit- (STB-45) calculates the Akaike and Schwarz information criteria (AIC, SIC) for single-equation arima models. These criteria are often used to select among competing arima specifications. The command defines the scalars np (number of estimated parameters), llf (minus twice the log of the likelihood), aic and sic for later use. This is version 1.1 of the software.

Language: Stata
Requires: Stata version 6.0
Keywords: AIC; SIC; model evaluation (search for similar items in EconPapers)
Date: Written
Note: This module may be installed from within Stata by typing "ssc install arimafit". Windows users should not attempt to download these files with a web browser.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/arimafit.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/a/arimafit.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s386601

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Series data maintained by Christopher F Baum ().