Hello everyone,
I am currently writing my thesis and I need help with ARIMAX loop.
An idea is to include three macroeconomic variables in a regression together with lagged LHS variable values and residuals. What I need is a loop capable of determining ARIMA p and q order, given the three variables. The loop would stop once the lowest AIC/BIC is reached.
Forecasting would require updating the p,q after every 30 days (I have daily data) according to the lowest AIC/BIC given by the loop.
I have found allpossible and lrtest but I am struggling with adjusting it to work in a different way.
Every advice/link would be greatly appreciated.
Best,
Igor
I am currently writing my thesis and I need help with ARIMAX loop.
An idea is to include three macroeconomic variables in a regression together with lagged LHS variable values and residuals. What I need is a loop capable of determining ARIMA p and q order, given the three variables. The loop would stop once the lowest AIC/BIC is reached.
Forecasting would require updating the p,q after every 30 days (I have daily data) according to the lowest AIC/BIC given by the loop.
I have found allpossible and lrtest but I am struggling with adjusting it to work in a different way.
Every advice/link would be greatly appreciated.
Best,
Igor