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.
[web:reg] arma add-in is a free software application from the Math & Scientific Tools subcategory, part of the Business category.
The app is currently available in English and it was last updated on 2005-12-19. The program can be installed on Win95, Win98, WinME, WinNT 3.x, WinNT 4.x, Windows2000, WinXP, Windows2003, Unix, Linux.
[web:reg] arma add-in (version 1.0) has a file size of 711.20 KB and is available for download from our website.
Just click the green Download button above to start. Until now the program was downloaded 187 times.
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