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[web:reg] arma add-in 1.0

License: Free ‎File size: 711.20 KB
‎Users Rating: 4.0/5 - ‎1 ‎votes
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The parameter of an pure AR(p) model can be estimated by OLS. Estimation of MA(q) or ARMA(p,q) models (with q>1) are non linear. [web:reg] ARMA Add-In estimates this models using the Levenberg-Marquardt algorithm. The derivates, which are needed for the estimation and the covariance matrix, are computed with numeric finite difference methods. After estimation the Add-In displays the coefficient results (including std.error, t-statistic, p-value), summary statistics (R, Adjusted R, Standard Error of Regression, sum of squared residuals, log likelihood, Durbin Watson, Akaike information criteria (AIC), Schwarz criteria (SIC), inverted MA/AR roots, Impulse response function as well as forecast evolution.

VERSION HISTORY

  • Version 1.0 posted on 2005-12-19

Program Details

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