Selec arima add in

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pvalls
Posts: 7
Joined: Wed Oct 22, 2008 5:44 am

Selec arima add in

Postby pvalls » Mon Mar 17, 2014 5:49 am

The addin selec arima is not correct because it doesn't keep the same size fixed. If you start with an ARMA(7,7) your size is 8 to T and when you estimate an ARMA(6,6) the new estimation size is 7 to T instead of the previous one. Therefore the two AIC or SIC are not comparable
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Pedro Valls
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13312
Joined: Tue Sep 16, 2008 5:38 pm

Re: Selec arima add in

Postby EViews Gareth » Mon Mar 17, 2014 7:52 am

Actually, the add-in uses the same, shortest, sample to estimate each of the different models.
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