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English[web:reg] arma add-in
This programme is presented to you by:
| E-mail: | annen [at] web-reg [dot] de |
| Website: | www.web-reg.de |
| Category: | Business / Accounting & Finance |
| Version: | 1.0 |
| Release date: | 2005-12-19 |
| Size: | 694 KB |
| OS: | Win 95 / 98 / ME / NT / 2000 / XP / |
| Requirements: | Microsoft Excel |
| Languages: | English |
| Downloads: | 8 in April / 356 in total |
Rating: 2.11/10 (9 votes cast)
| Download: | http://www.web-reg.de/files/setup_arma.exe |
| Mirror 1: | http://www.web-reg.de/arma_addin.html |
| Infopage: | http://www.web-reg.de/arma_addin.html |
![[web:reg] arma add-in](http://www.web-reg.de/images/armapic.jpg)
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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