Re: [Gretl-devel] 28512 arima results
On Tue, 20 Mar 2018, oleg_komashko(a)ukr.net wrote:
Dear all,
The topic name borrowed from Xavier Sala-i-Martin
(I JUST RAN FOUR MILLION REGRESSIONS )
myfilem4em.zip contains auto_arima output with "-a"
myfilem4em2.zip contains auto_arima output without "-a"
792 series: monthly economic M4 series
In a previous message I wrote how to get this data set
It is possible to look at the results and use
more sophisticated script to obtain some auto-comparisons
A sizable percentage of the series requires some
transformations or large order arima to get rid of
autocorrelation
It is interesting to catch whether the percentage
of different optimal IC models depends on whether
the model is misspecified
Thanks, Oleh! This will give us plenty to work with in assessing AS
197.
Allin