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    STUDIA OECONOMICA - Issue no. 2 / 2001  
         
  Article:   CRITERIA FOR AUTOMATIC SPECIFICATION OF ARMA MODELS.

Authors:  O. PRELOUCEC. 		 
       
         
  Abstract:  Criteria for Automatic Specification of ARMA Models. Econometrical modelling of stochastic processus by using ARMA and ARIMA models is extremely useful for getting short term forecasting with a little variation of prediction error. Clasical models used for the determination of the autoregressive and moving average processus� order by using the autocorrelation and partial autocorrelation function presents the disadvantage of a succesive specification of the model and implicitly a greater amount of work due to repeated testing of parameters and residuals. To solve this problem Akaike, Parzen and Scwarz have established a range of criteria based on maximization of the likelyhood log function which permit automatic specification of ARMA processus� order by searching that order for which the mentioned criteria reach the minimal values.  
         
     
         
         
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