Quantcast
Channel: Statalist
Viewing all articles
Browse latest Browse all 72767

ARIMA post estimation serial correlation and arch effects

$
0
0
Hi Guys,

Can anyone help me? I am trying to select the best fitting ARIMA (p,d,q) model using the AIC, BIC whether the residuals are white noise and whether there are ARCH effects.

I am trying to run the code:

arima y, arima (p,d,q)
estat ic
estat bgodfrey
estat archlm

and i keep getting the error message invalid subcommand

apparently the developers never prepared for the possibility than an individual fitting an arima model would want to make sure the residuals are white noise or that the individual would try to go on and fit a GARCH model.

does anyone know a work around?

Cheers
D

Viewing all articles
Browse latest Browse all 72767

Trending Articles



<script src="https://jsc.adskeeper.com/r/s/rssing.com.1596347.js" async> </script>