Re: [Gretl-users] quickly run through ARIMA models, varying parameters, acquiring AIC, BIC, HQC?
On Sat, 26 Apr 2014, oleg_komashko(a)ukr.net wrote:
You can use armax_auto (see time series menu in Gretl GUI). The
function
has a drawback: the cycle crushes on encountering a unit root in MA part
of the model Also you can use auto.arima{forecast} in R My experience
tells it would be better to determine the order of integration (use unit
root tests) beforehand and use, say "d=1" in auto.arima (type
?auto.arima in R console)
That's a function package, you may need to install it first: go to
Files>Function Files>On server.
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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