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.
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.
Tell us your experience with [web:reg] arma add-in1.0
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