Abstract #301181

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JSM 2002 Abstract #301181
Activity Number: 310
Type: Contributed
Date/Time: Wednesday, August 14, 2002 : 10:30 AM to 12:20 PM
Sponsor: Business & Economics Statistics Section*
Abstract - #301181
Title: Benchmarks for Least Squares ARMA Models
Author(s): B. McCullough*+
Affiliation(s): Drexel University
Address: 3141 Chestnut Avenue, Philadelphia, Pennsylvania, 19104-2875, USA
Keywords: numerical accuracy ; software reliability ; test problem
Abstract:

It is well-known that different statistical packages produce different answers to the same ARMA problem. Which package, if any, produces the correct answer is still unknown. The present paper answers this question by utilizing analytic derivatives and extended precision calculation to compute benchmarks for conditional and unconditional (with backcasting) least squares ARMA models. These benchmarks are then compared to the output from several packages.

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