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: 1999-08-10
Note: This module may be installed from within Stata by typing "ssc install arimafit". 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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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: https://EconPapers.repec.org/RePEc:boc:bocode:s386601

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