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Posted: **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
Best regards
Pedro Valls

Posted: **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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Selec arima add in

Selec arima add in

Re: Selec arima add in