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XTARIMAU: Stata module to find the best [S]ARIMA[X] models in heterogeneous panels with the help of arimaauto

Author

Listed:
  • Ilya Bolotov

    (Prague University of Economics and Business)

Programming Language

Stata

Abstract

xtarimau is a panel wrapper for arimaauto which is de facto an "augmented" Mata-written sister program to Christopher F. Baum's ARMA-limited arimasel with mutually consistent output, allowing for ARIMA(p,d,q) and multiplicative seasonal ARIMA(p,d,q)(P,D,Q) models, selecting the best model based on the LLF, AIC or SIC, and returning its estimates at the same time. However, unlike arimasel, the selection is by default peformed with the help of the Hyndman-Khandakar algorithm, first implemented in the auto.arima function (part of of the "forecast" package) in the R language.

Suggested Citation

  • Ilya Bolotov, 2022. "XTARIMAU: Stata module to find the best [S]ARIMA[X] models in heterogeneous panels with the help of arimaauto," Statistical Software Components S459048, Boston College Department of Economics, revised 06 Apr 2024.
    • Handle: RePEc:boc:bocode:s459048
    Note: This module should be installed from within Stata by typing "ssc install xtarimau". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/x/xtarimau.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/larimaauto.mlib
    File Function: Mata library
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtarimau.sthlp
    File Function: help file
    Download Restriction: no
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