ARIMA modelling and forecasting.

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Neville
Neville el 18 de Sept. de 2013
Good day, I need to somehow generate a script that can enable me to find the best ARMA model (minimize AIC0) starting from ARMA 0,0 to ARMA 5,5 on a rolling basis (over 4000 data points). After the best model has been selected I would like the program to perform a 1 step ahead forecast. Ideally, I would like be able to view the model selected at each point and the forecast generated. Could you point me in the right direction? Thank you in advance. Regards Nev

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