[web:reg] arma add-in 1.0


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Publisher 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 (R, Adjusted R, 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.

Program Details



General

 
Publisher [web:reg]
Released Date 2005-12-19
Languages

Category

 
Category Business
Subcategory Math & Scientific Tools

System requirements

 
Operating systems linux, other, unix, windows

Download information

 
File size 694.53 KB
Total downloads 183

Pricing

 
License model Free
Price N/A

Version History



» version 1.0   -   posted on 2005-12-19

EULA



The [web:reg] ARMA Add-In was written by Kurt Annen. This program is freeware. But I would highly appreciate if you could give me credit for my work by providing me with information about possible open positions as an economist. My focus as an economist is on econometrics and dynamic macroeconomics. If you like the program, please send me an email.

annen@web-reg.de

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Users Rating:  
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Downloads last week: 1
Size: 694.53 KB
Price: N/A
Release Date: 2005-12-19
Publisher: [web:reg]
Operating System: linux, other, unix, windows