BJAUTOFIT—Automated selection of ARMA model

[TomDoan]

@BJAUTOFIT does an automatic fit of an ARMA model to a series after the differencing operations have been determined. (The series analyzed for ARMA parameters needs to be stationary.) You can either pass into it an already differenced series, or can use the DIFFS or SDIFFS options to have the procedure handle the differencing.

@BJAUTOFIT handles only simple ARMA models; not seasonal multiplicative ones. For seasonal models, use @GMAUTOFIT.

Detailed description