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Windows Business Math & Scientific Tools

[web:reg] arma add-in 1.0

Download [web:reg] arma add-in
Rating: 0.0/5 (0 votes)
 
  Downloads : 11
  Size : 0.68 MB
    Publisher : [web:reg] | Other programs by this author
  License type : Freeware  
    Price : $0
  Last update :
December 19, 2005
New Release
 
    OS : Win95, Win98, WinME, WinNT 3.x, WinNT 4.x, Windows2000, WinXP, Windows2003, Unix, Linux    
  Requirements : No special requirements.  
    Screenshot :    
   
 
   
Description (English) :
   

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.

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