MAAutoLags—procedure for choosing MA model

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TomDoan
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Joined: Wed Nov 01, 2006 4:36 pm

MAAutoLags—procedure for choosing MA model

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@MAAUTOLAGS quickly scans a set of moving average models looking for the one which minimizes one of four information criteria. This can be used in ARMA model identification, and also for diagnostics (best lag should be zero if the series is serially uncorrelated).

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Last bumped by TomDoan on Tue Aug 07, 2018 8:56 am.
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