[web:reg] arma add-in

Author Company: [web:reg]

Category:

Arima Estimation

Screenshot: [web:reg] arma add-in
Program Name: [web:reg] arma add-in
Version: New Release
Release Status: 1.0
Release Date: 19.12.2005
Price: $
License: Freeware
Install_Support: No Install Support
OS Support: Win95,Win98,WinME,WinNT 3.x,WinNT 4.x,Windows2000,WinXP,Windows2003,Unix,Linux
Language: English
System Requirements:
File Size: 0.68Mb.
Download [web:reg] arma add-in

Description:

The parameter of an pure AR(p) model can be estimated by OLS. Estimation of MA(q) or ARMA(p,q) models (with q>1) are non linear. [web:reg] ARMA Add-In estimates this models using the Levenberg-Marquardt algorithm. The derivates, which are needed for the estimation and the covariance matrix, are computed with numeric finite difference methods. After estimation the Add-In displays the coefficient results (including std.error, t-statistic, p-value), summary statistics (R², Adjusted R², Standard Error of Regression, sum of squared residuals, log likelihood, Durbin Watson, Akaike information criteria (AIC), Schwarz criteria (SIC), inverted MA/AR roots, Impulse response function as well as forecast evolution.

Tags: ARIMA, ARMA, ECONOMETRICS, EXCEL, ADD-INS