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Posted: **Tue Feb 19, 2013 9:24 am**

Hi everyone,
is there a way to produce the information criteria for several ARMA(p,q) models in one go, for example, a tabular display of AIC for p = 0 to 3 and q = 0 to 3, or do I have to run the equations manually?
Regards
Florian

Posted: **Tue Feb 19, 2013 9:37 am**

You'll have to write a program that does it.

Posted: **Tue Feb 19, 2013 9:48 am**

I thought as much. Should not be difficult, I'll post back once I have it

Posted: **Wed Feb 20, 2013 6:01 am**

Hi Gareth,
I have come across a little snag. Assume I would like to test all models from ARMA(1,1) to ARMA(5,5). Obviously, I need one loop for p and another for q (ARMA(p,q)). Within the loops lies the equation, for example:

Code: Select all

for !i = 1 to !maxp
for !j = 1 to !maxq
equation e1.ls(n) {%n} c ar(!i) ma(!j)
next
next

That should give me all models:
{%n} c ar(1) ma(1)
{%n} c ar(2) ma(1)
{%n} c ar(3) ma(1)
...
{%n} c ar(5) ma(5)

unfortunately, except the first one, that is not what I am looking for. Rather, the models should be:
{%n} c ar(1) ma(1)
{%n} c ar(1) ar(2) ma(1)
{%n} c ar(1) ar(2) ar(3) ma(1)
...
{%n} c ar(1) ar(2) ar(3) ar(4) ar(5) ma(1) ma(2) ma(3) ma(4) ma(5)

There appears to be no shorthand to enter this. I was thinking to perhaps assign a vector of sorts to contain the current regressors, but I am not sure how to do this. Could you perhaps assist? Is there an easier way of doing this?

Posted: **Wed Feb 20, 2013 6:15 am**

Code: Select all

	%strp = %strp + "ar(" + @str(!i) + ")" 		
		for !j = 1 to !maxq
			%strq = %strq + "ma(" + @str(!j) + ")"

Working with expanding strings seems to work. I will post back with results

Posted: **Wed Feb 20, 2013 6:44 am**

An here it is:

Code: Select all

'arma aic hqic sbic
'Florian Böhlandt, 2012/07/17
'www.usb.co.za

!minp = 1
!minq = 1
!maxp = 5
!maxq = 5
%group = "group01"

!n = {%group}.@count
for !i = 1 to !n
	%n = {%group}.@seriesname(!i) 
	'prep output tables
	table(!maxp + 1, !maxq + 1) table01
	table(!maxp + 1, !maxq + 1) table02
	table(!maxp + 1, !maxq + 1) table03
	%str1 =  %n+"_aic"
	%str2 =  %n+"_hqic"
 	%str3 =  %n+"_sbic"
	rename table01 {%str1}
	rename table02 {%str2}
	rename table03 {%str3}
	{%str1}(1,1) = "p/q"
	{%str2}(1,1) = "p/q"
	{%str3}(1,1) = "p/q"
	'loop for p and q
	%strp = ""
	for !ii = !minp to !maxp
		{%str1}(!ii + 2,1) = !ii
		{%str2}(!ii + 2,1) = !ii
		{%str3}(!ii + 2,1) = !ii
		'create string ar(p)
		if !ii = 0 then
			%strp = ""
		else
			%strp = %strp + "ar(" + @str(!ii) + ")"
		endif
		%strq = "" 
		for !j = !minq to !maxq
			{%str1}(1,2 + !j) = !j
			{%str2}(1,2 + !j) = !j
			{%str3}(1,2 + !j) = !j
			'create string ma(q)	
			if !j = 0 then
				%strq = ""
			else
				%strq = %strq + "ma(" + @str(!j) + ")"
			endif
			equation e1.ls(n)	{%n} c {%strp} {%strq}
			{%str1}(2 + !ii,2 + !j) = e1.@aic			
			{%str2}(2 + !ii,2 + !j) = e1.@hq
			{%str3}(2 + !ii,2 + !j) = e1.@schwarz
		next
	next
next

To enter:
minimum and maximum p (!mip anf !maxp)
minimum and maximum q (!minq and !maxq)

The routine works for single series or series grouped in "group01" (outer loop). The created tables retain the series name and appendices "_aic" (Akaike), "_hqic" (Hannan-Quinn) and "_sbic" (Schwarz). Hope this helps others. If not in the right section , please feel free to move this thread.

Regards

Posted: **Wed Feb 20, 2013 8:20 am**

p.s. to produce pure AR[p] or MA[q] or models where AR[0] and MA[0] (intercept only) set:
!minp = 0
!minq = 0

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