Mustafa,
Let me elaborate the following:
If using the eststo comand, after installing estout, you could use
sysuse turksales, clear
tsset t
eststo one: arima sales, ar(1)
eststo two: arima sales, ar(1/2)
estout, stat(aic bic)
If you are not using that command, you could
just type, after running your arima models:
est stats _all
Regards,
Bob Yaffee
----- Original Message -----
From: Robert A Yaffee <[email protected]>
Date: Thursday, December 13, 2007 11:11 am
Subject: Re: st: ARIMA Order Selection
To: [email protected]
> Dear Mustafa,
>
> There are several means by which to obtain model comparisons via
> functions of the
> model likelihood or information criteria with Stata time series. I
> will proffer a simple one here.
>
> First, install estout from the ssc archive
> with the ssc install estout command.
>
> Then type: sysuse turksales
> tsset t
>
> eststo: arima turksales, ar(1)
> eststo: arima turksales, ar(1/2)
>
> To obtain your model comparisons with AIC and BIC, then
> type:
>
> est stats _all
>
> I hope this helps,
> Robert Yaffee
>
>
> ----- Original Message -----
> From: Mostafa Baladi <[email protected]>
> Date: Thursday, December 13, 2007 10:36 am
> Subject: st: ARIMA Order Selection
> To: [email protected]
>
>
> > Hello to Everyone,
> >
> > I am very new to STATA and this is my first question posed to the group.
> > Sorry if it is not an exciting question or if it is too easy.
> >
> > I need to find the best ARIMA based on some criterion (log
> likelihood
> > or
> > whatever) within a range of p and q.
> > Would anybody be nice enough to give some advice (no matter how general)
> > on this?
> >
> > Your help is greatly appreciated.
> >
> > Thanks,
> >
> > Mostafa Baladi
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
