[web:reg] arma add-in

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. [web:reg] arma add-in is licensed as freeware, full size of the download is 0.68 MB. You can download a free copy of [web:reg] arma add-in by following download link at Free Downloads section of this page. [web:reg] arma add-in is developed or distributed by [web:reg] and is listed under business math & scientific tools.

Software Screen Shot

[web:reg] ARMA estimates ARIMA models within Excel

Related Software

impulse response function akaike information criteria levenberg marquardt finite difference methods t statistic log likelihood moedels linear web web reg covariance matrix summary statistics derivates standard error estimation regression algorithm watson estimates roots evolution

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Publisher:

[web:reg]

Cost:

Freeware

License Type:

Freeware

File Size:

0.68 MB

Release Date:

12/19/2005

Platforms: Win95, Win98, WinME, WinNT 3.x, WinNT 4.x, Windows 2000, XP, Windows 2003, Unix, Linux

Keywords: arma arima econometrics add-ins excel

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