[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.
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 (version 1.0) has a file size of 694.53 KB and is available for download from our website.
Just click the green Download button above to start. Until now the program was downloaded 186 times.
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