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[web:reg] ARMA estimates ARIMA moedels within Excel and displays useful statistics and plots.
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![[web:reg] arma add-in 1.0](/screenshots/2/9/29305-160.jpeg)
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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 (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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Free / Download (694 bytes)
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Avg. User Rating |
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| 21 / 4 (total / last month) |
| 19-12-2005 |
| English |
| Win95, Win98, WinME, WinNT 3.x, WinNT 4.x, Windows2000, WinXP, Windows2003, Unix, Linux |
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| No Install Support |
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