Msherif, I wrote programs in 1968 to do exactly what you are reflecting upon. That is a simple "try all combinations approach" . It was a failure because of the impact of outiers, inliers, seasonal pulses, level shifts and local time trends that were in the data. The simple one step process that you defined also fails to recognize the importance of diagnostic checking to revise the initally guessed model or invertibility leading to either model simplification or additionall diferencing.
In addition you totally ignored the PDQ ( seasonal components ) while laying out the pdq for the base NON-SEASONAL ARIMA component. Better to develop heuristics like the ones embedded on FreeFore ( http://www.autobox.com ) to intelligently select a starting model then iterating via step-down, step-up and outlier detection schemes to culminate in a useful model .. Remember all models are wrong but some models are useful ! ( cited to GEP BOX ) Regards Dave Reilly Automatic Forecasting Systems (The makers of AUTOBOX) [EMAIL PROTECTED] (=?iso-8859-1?q?mon=20sherif?=) wrote in message news:<[EMAIL PROTECTED]>... > Hi, > > Assuming the data generating process to be an > ARIMA(p,1,q) with p=0,1,....50 and q=0,1,.....20.How > can I find the order of ARIMA model using the Akaike > information criterion.I thought to estimate ARIMA > model for each order(eg > ARIMA(0.1.1),ARIMA(0,1,2),...)and then choose the > model with the lowest AIC,but it takes long time as I > will estimate ARIMA model 50 times.I would be grateful > if any one can help me to do so using one step. > > Thx a bunch for your help > > __________________________________________________ > Do You Yahoo!? > Everything you'll ever need on one web page > from News and Sport to Email and Music Charts > http://uk.my.yahoo.com > . > . > ================================================================= > Instructions for joining and leaving this list, remarks about the > problem of INAPPROPRIATE MESSAGES, and archives are available at: > . http://jse.stat.ncsu.edu/ . > ================================================================= . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
