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st: Finding the minimal BIC after ARIMA estimation
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[email protected]
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Subject
st: Finding the minimal BIC after ARIMA estimation
Date
Thu, 11 Aug 2011 13:00:01 +0200
Hey there,
we are wondering if there is a command to look for the minimal BIC
after ARIMA estimation.
We estimated ARIMA for different lags and time periods:
forvalues p=1/4{
arima actual_nfp, ar(`p') robust, if tin(1980m1, 1984m12)
estat ic
}
forvalues p=0/4{
arima actual_nfp, arima(`p',1,0) robust, if tin(1980m1, 1984m12)
estat ic
}
.
.
.
.
It would be helpfull if there is a command to let stata compare the
BIC values to get the best model without looking up every value "by
hand"...
I relly appreciate your help.
Kind regards
Daniela Müller
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