请问在BIC和AIC帮助下 在arma(p,q)model中怎么找到p和q的最优值 其中p max=q max=6
以下command有什么问题吗?谢谢大家了!
scalar AICmin = 999
scalar BICmin = 999
forvalues p = 0(1)6 {
forvalues q = 0(1)6 {
quietly{
arima chomage, arima(`p',0,`q')
estat ic
scalar AIC_`p'_`q' = el(r(S),1,5)
scalar BIC_`p'_`q' = el(r(S),1,6)
if AIC_`p'_`q' < AICmin {
scalar AICmin = AIC_`p'_`q'
scalar p = `p'
scalar q = `q'
}
if BIC_`p'_`q' < BICmin {
scalar BICmin = BIC_`p'_`q'
scalar pbic = `p'
scalar qbic = `q'
}
}
}
}
display "ARMA(" p ";" q ") minimise le critere AIC"
display "ARMA(" pbic ";" qbic ") minimise le critere BIC"