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
The main features are:
* Consideration of seasonal ARIMA models with and without exogenous
* 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: