AIC for ARIMA

Hi all. I am modeling a time series with ARIMA model, and I have to test th AIC creterion to know wich is the best model. aic(model), but what to put in place of "model"?

[Wayne King]

Please show some MATLAB code. Are you using the Econometrics Toolbox, or System Identification Toolobx?

[Walter Roberson]

http://www.mathworks.com/matlabcentral/answers/29922-why-your-question-is-not-urgent-or-an-emergency

[Marina]

I use ssytem identification toolbox

Answer 1

[Rajiv Singh]

In System Identification Toolbox, use the armax command to generate a model. Suppose x represents your time series data: z = iddata(x,[]); model = armax(z,[na nc], 'IntegrateNoise', true)

The "IntegrateNoise" option is available in R2012a, but not before that. In older releases, you can do something like this: zd = iddata(diff(x),[]); model = armax(zd,[na nc]) model.a = conv([1 -1],model.a)

rajiv