HANNARISSANEN: RATS procedure to estimate an ARIMA model using the Hannan-Rissanen algorithm

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Computes estimates for an ARMA model using the Hannan-Rissanen algorithm, which runs a LS regression on lags of the dependent variable and residuals from a long preliminary AR. Hannan and Rissanen, "Recursive estimation of mixed autoregressive-moving average order", Biometrika, 1991, vol 69, pp 81-94.

Language: RATS
Requires: RATS 5.10
Keywords: ARIMA models; Hannan-Rissanen (search for similar items in EconPapers)
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