ARIMAAUTO: Stata module to find the best ARIMA model with the help of a Stata-adjusted Hyndman-Khandakar (2008) algorithm

Ilya Bolotov

Statistical Software Components from Boston College Department of Economics

Abstract: arimaauto is de facto an "augmented" Mata-written sister program to Christopher F. Baum's ARMA-limited arimasel with mutually consistent output, allowing for ARIMA(p,d,q) and multiplicative seasonal ARIMA(p,d,q)(P,D,Q) models, selecting the best model based on the LLF, AIC or SIC, and returning its estimates at the same time. However, unlike arimasel, the selection is by default peformed with the help of the Hyndman-Khandakar algorithm, first implemented in the auto.arima function (part of of the "forecast" package) in the R language.

Language: Stata
Requires: Stata version 15.1, hegy from SJ/st0453 and kpss from SSC (q.v.)
Keywords: ARIMA; seasonal time series; stationarity (search for similar items in EconPapers)
Date: 2022-02-04, Revised 2024-11-04
Note: This module should be installed from within Stata by typing "ssc install arimaauto". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/a/arimaauto.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/larimaauto.mlib Mata library (text/plain)
http://fmwww.bc.edu/repec/bocode/a/arimaauto.sthlp help file (text/plain)

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