YULELAGS: RATS procedure to compute Information Criteria for AR models using Yule-Walker

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: YuleLags computes an information criterion for various lags of AR processes using the Yule-Walker estimates based upon the sample covariances. Use the newer ARAutoLags procedure instead.

Language: RATS
Requires: RATS 7.30
Keywords: ARIMA (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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