ARMA_GOF - Goodness of fit of an ARMA Model

Jacquie Nesbitt

October 25, 2016 17:12

Computes the goodness of fit measure (e.g. log-likelihood function (LLF), AIC, etc.) of the estimated ARIMA model.

Syntax

ARMA_GOF(X, Order, mean, sigma, phi, theta, Type)

X

is the univariate time series data (a one dimensional array of cells (e.g. rows or columns)).

Order

is the time order in the data series (i.e. the first data point's corresponding date (earliest date=1 (default), latest date=0)).

Order	Description
1	ascending (the first data point corresponds to the earliest date) (default)
0	descending (the first data point corresponds to the latest date)

mean

is the ARMA model long-run mean (i.e. mu).

sigma

is the standard deviation of the model's residuals/innovations.

phi

are the parameters of the AR(p) component model (starting with the lowest lag).

theta

are the parameters of the MA(q) component model (starting with the lowest lag).

Type

is an integer switch to select the goodness of fitness measure: (1=LLF (default), 2=AIC, 3=BIC, 4=HQC)

Order	Description
1	Log-Likelihood Function (LLF) (default)
2	Akaike Information Criterion (AIC)
3	Schwarz/Bayesian Information Criterion (SIC/BIC)
4	Hannan-Quinn information criterion (HQC)

The underlying model is described here.
The Log-Likelihood Function (LLF) is described here.
The time series is homogeneous or equally spaced.
The time series may include missing values (e.g. #N/A) at either end.
The long-run mean can take any value or be omitted, in which case a zero value is assumed.
The residuals/innovations standard deviation (sigma) must greater than zero.
For the input argument - phi:
- The input argument is optional and can be omitted, in which case no AR component is included.
- The order of the parameters starts with the lowest lag.
- One or more parameters may have missing values or an error code (i.e. #NUM!, #VALUE!, etc.).
- The order of the AR component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
For the input argument - theta:
- The input argument is optional and can be omitted, in which case no MA component is included.
- The order of the parameters starts with the lowest lag.
- One or more values in the input argument can be missing or an error code (i.e. #NUM!, #VALUE!, etc.).
- The order of the MA component model is solely determined by the order of the last value in the array with a numeric value (vs. missing or error).
Missing parameters values reduce the model's actual number of overall parameters, thus improving the AIC, BIC, and HQC statistics.
The function was added in version 1.63 SHAMROCK.

D. S.G. Pollock; Handbook of Time Series Analysis, Signal Processing, and Dynamics; Academic Press; Har/Cdr edition(Nov 17, 1999), ISBN: 125609906
James Douglas Hamilton; Time Series Analysis; Princeton University Press; 1st edition(Jan 11, 1994), ISBN: 691042896
Tsay, Ruey S.; Analysis of Financial Time Series; John Wiley & SONS; 2nd edition(Aug 30, 2005), ISBN: 0-471-690740
Box, Jenkins and Reisel; Time Series Analysis: Forecasting and Control; John Wiley & SONS.; 4th edition(Jun 30, 2008), ISBN: 470272848
Walter Enders; Applied Econometric Time Series; Wiley; 4th edition(Nov 03, 2014), ISBN: 1118808568