Automatic ARIMA Forecasting

[saulstice]

Dear Eviews users,

I am trying to construct a model to predict gdp. As part of this process I want to do an ARIMA model and have thus been drawn to the automatic tool provided by eviews. However, it seems that it only finds the best AR(X) and MA(X) and not the optimal lags for each regressors.

Is there any way to use this automatic tool to find the optimal lags of the regressors or do I have to do this job manually?

Thanks in advance!

Saul Stice

[EViews Gareth]

You might want to look at ARDL instead.

[saulstice]

Thanks a lot Gareth!

Is there any way to include MA(X) terms in the ADRL procedure?

Before that, I was using a stepwise regression process to select my variables, but I would prefer to use something more robust.

[EViews Gareth]

No.