Hi Sherif,
I suggest the following:
1. Consider taking the first difference to make your series
stationary before using the AIC.
2. For example use S-Plus V6.1 the function (ar, ar.burg,.... ),
the output show the order of the autoregression fitted.
3. Now you can estimate the AR coefficients based on the number of
lags obtained from the AIC in 2.
No one step solution is possible.
Regards.
Shakir
-----Original Message-----
From: mon sherif [mailto:msherif2003@yahoo.co.uk]
Sent: Saturday, January 25, 2003 11:55 AM
To: edstat@lists.ncsu.edu
Subject: ARIMA model
Hi,
Assuming the data generating process to be an
ARIMA(p,1,q) with p=0,1,....50 and q=0,1,.....20.How
can I find the order of ARIMA model using the Akaike
information criterion.I thought to estimate ARIMA
model for each order(eg
ARIMA(0.1.1),ARIMA(0,1,2),...)and then choose the
model with the lowest AIC,but it takes long time as I
will estimate ARIMA model 50 times.I would be grateful
if any one can help me to do so using one step.
Thx a bunch for your help
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