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ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model


  • Christopher F Baum

    () (Boston College)


-arimafit-, based on -mlfit- (STB-45) calculates the Akaike and Schwarz information criteria (AIC, SIC) for single-equation arima models. These criteria are often used to select among competing arima specifications. The command defines the scalars np (number of estimated parameters), llf (minus twice the log of the likelihood), aic and sic for later use. This is version 1.1 of the software.

Suggested Citation

  • Christopher F Baum, 1999. "ARIMAFIT: Stata module to calculate AIC, SIC for ARIMA model," Statistical Software Components S386601, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:s386601
    Note: This module may be installed from within Stata by typing "ssc install arimafit". Windows users should not attempt to download these files with a web browser.

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    AIC; SIC; model evaluation;


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