Re: [Gretl-users] ARIMA ( or ARMA) Order Estimation using GRETL
Sanzad, you could choose an ARMA specification using information criteria
(Akaike, Schwarz, and so on) or selecting a model with the minimum
out-of-sample forecast error. Best, Rodrigo.
2012/6/13 Sanzad Siddique <pavelkushtia(a)gmail.com>
Hi There,
Can anyone of you know, how I can estimate the order for a given time
series data set. I can estimate the order for a AR or MA series separately
using the autocorrelation and partial autocorrelation pattern ( cut off
values), but it is not possible for mixed AR and MA. Is there any way to
estimate the order from GRETL?
Thanks,
Sanzad
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