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"[web:reg] ARMA estimates ARIMA moedels within Excel and displays useful statistics and plots."

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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.

 
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[web:reg] arma add-in
Version:1.0
File Size:694 KB
Last updated:2005-12-19
License:Freeware   $0.00
OS:Win95,Win98,WinME,WinNT 3.x,WinNT 4.x,Windows2000,WinXP,Windows2003,Unix,Linux
Author:[web:reg]
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