'===================================================================

'This code select the best ARMA(p,q) model based on Schwarz criterion and Akaike criterion
'Copy your data in drive "c:\", data must have a "data" name and "xls" format and contain one
'column, the first cell of that column must have a name "x1"
'You can choose max lag of AR terms and MA terms by changing the right hand side of
' equations "!maxp=3" and "!maxq=3"
'Table "results_sc" contain Schwarz criterion for each ARMA(p,q) and "results_aic" contain
' Akaike criterion, the best model is determined automatically
'Good lock
'===================================================================
'Adapted by Moslem Peymany
'PHD of Finance, Allameh Tabatabai Uneversity, Faculty of Accounting and Management
'Tehran, Iran
'moslempeymany@yahoo.com
'===================================================================
'Reading data
wfopen "c:\data.xls"
series data=x1
'-------------------------------------------------------------------------------------------------------------------------------------'Determining max lag of AR terms (p) and MA terms (q)
!maxp=3
!maxq=3
'-------------------------------------------------------------------------------------------------------------------------------------'Preparing a matrix for necessary calculations, this matrix will be deleted at the end of code
matrix(!maxp+1,!maxq+1) m_sc
matrix(!maxp+1,!maxq+1) m_aic
'-------------------------------------------------------------------------------------------------------------------------------------'Preparing tables to show results
table (!maxp+5,!maxq+2) results_sc
setline(results_sc,2)
setline(results_sc,!maxp+4)
results_sc(1,1)="SBC"
results_sc(3,2)="---"
table (!maxp+5,!maxq+2) results_aic
setline(results_aic,2)
setline(results_aic,!maxp+4)
results_aic(1,1)="AIC"
results_aic(3,2)="---"
for !i=0 to !maxp
results_sc(!i+3,1)="AR("+@str(!i)+")"
results_aic(!i+3,1)="AR("+@str(!i)+")"
next
for !i=0 to !maxq
results_sc(1,!i+2)="MA("+@str(!i)+")"
results_aic(1,!i+2)="MA("+@str(!i)+")"
next
'-------------------------------------------------------------------------------------------------------------------------------------'Filling first row of tables
%1=""
for !j=1 to !maxq
%1=%1+"ma("+@str(!j)+")"
equation eq1.ls data c {%1}
results_sc(3,!j+2)=eq1.@sc
results_aic(3,!j+2)=eq1.@aic
m_sc(1,!j+1)=eq1.@sc
m_aic(1,!j+1)=eq1.@aic
next
'-------------------------------------------------------------------------------------------------------------------------------------'Filling first column of tables

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%2=""
for !k=1 to !maxp
%2=%2+"ar("+@str(!k)+")"
equation eq2.ls data c {%2}
results_sc(!k+3,2)=eq2.@sc
results_aic(!k+3,2)=eq2.@aic
m_sc(!k+1,1)=eq2.@sc
m_aic(!k+1,1)=eq2.@aic
next
'-------------------------------------------------------------------------------------------------------------------------------------'Filling other parts of tables
%3=""
for !p=1 to !maxp
%3=%3+"ar("+@str(!p)+")"
%4=""
for !q=1 to !maxq
%4=%4+"ma("+@str(!q)+")"
%5=%3+%4
equation eq.ls data c {%5}
results_sc(!p+3,!q+2)=eq.@sc
results_aic(!p+3,!q+2)=eq.@aic
m_sc(!p+1,!q+1)=eq.@sc
m_aic(!p+1,!q+1)=eq.@aic
next
next
'-------------------------------------------------------------------------------------------------------------------------------------'Determining the best model
!pq=@max(m_sc)
m_sc(1,1)=!pq
!pq=@max(m_aic)
m_aic(1,1)=!pq
!maxpp=!maxp+1
!maxqq=!maxq+1
!pq=@min(m_sc)
for !pp=1 to !maxpp
for !qq=1 to !maxqq
if m_sc(!pp,!qq)=!pq then
!finalp=!pp-1
!finalq=!qq-1
endif
next
next
results_sc(!maxp+5,1)="Best Model Is ARMA("+@str(!finalp)+","+@str(!finalq)+")"
!pq=@min(m_aic)
for !pp=1 to !maxpp
for !qq=1 to !maxqq
if m_aic(!pp,!qq)=!pq then
!finalp=!pp-1
!finalq=!qq-1
endif
next
next
results_aic(!maxp+5,1)="Best Model Is ARMA("+@str(!finalp)+","+@str(!finalq)+")"
'-------------------------------------------------------------------------------------------------------------------------------------'Deleting excess data
delete eq eq1 eq2 m_sc m_aic
'-------------------------------------------------------------------------------------------------------------------------------------'Showing results
show results_sc
show results_aic

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