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 https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.estima.com/procs_perl/gmautofit.src (text/plain)

Related works:
Working Paper: Automatic Modeling Methods for Univariate Series (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rts00078

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().