[Gretl-users] New package: auto_arima

Hi all, I just want to inform you about my new official gretl package called "auto_arima". It returns the best SARIMAX model according to either the AIC, the AICc, the BIC or the HQC information criteria. The function conducts a (brute force) search over possible model within the order constraints provided. The main features are: * Consideration of seasonal ARIMA models with and without exogenous regressors. * Fine tuning the parameter space to evaluate. * Simple API. * GUI access through the gretl menu. * Public convenience functions for the user for summarizing results, or retrieving the gretl ARIMA command of the 'best' model. * Source code is tested by means of unit-tests to minimize bugs. It's already available on the gretl package server. For a brief introduction see also here: https://github.com/atecon/auto_arima Best, Artur