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[web:reg] arma add-in
The parameter of an pure AR(p) model can be estimated by OLS. Estimation of MA(q) or ARMA(p,q) models (with q>1) are non linear. [web:reg] ARMA Add-In estimates this models using the Levenberg-Marquardt algorithm. The derivates, which are needed for the estimation and the covariance matrix, are computed with numeric finite difference methods. After estimation the Add-In displays the coefficient results (including std.error, t-statistic, p-value), summary statistics (RČ, Adjusted RČ, Standard Error of Regression, sum of squared residuals, log likelihood, Durbin Watson, Akaike information criteria (AIC), Schwarz criteria (SIC), inverted MA/AR roots, Impulse response function as well as forecast evolution. This software is listed under business math, scientific tools.
Keywords: web reg t statistic standard error linear web models squared residuals std error log likelihood covariance matrix finite difference methods durbin watson estimation impulse response function information criteria arma levenberg marquardt ols aic summary statistics proprietary versatility
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