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ENH: Support ARMA(0,0) models. #1370

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commented Feb 7, 2014

See #1262. This has the same changes with the history rewritten a bit.

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commented Feb 7, 2014

I'm going to go ahead and merge this, so it doesn't sit any longer. cc @bashtage @josef-pkt

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commented Feb 7, 2014

Nevermind. AIC and BIC don't match gretl. They use OLS for this case and return an "estimated using least squares ( = MLE)." Should we just return a regression results instance if the order is (0,0)?

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commented Feb 7, 2014

I guess it could be nice to have the prediction dates magic...

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commented Feb 7, 2014

To muddy the waters, Stata returns the same AIC and BIC we use ie., the ARMA definitions.

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commented Feb 7, 2014

R's base arima uses the same AIC as we do (the ARMA one), and I suppose we want these to be comparable, so we should just stick with what we have in this PR I think.

jseabold added a commit that referenced this pull request Feb 7, 2014

Merge pull request #1370 from statsmodels/arima-order-0-0
ENH: Support ARMA(0,0) models.

@jseabold jseabold merged commit baff17b into master Feb 7, 2014

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@jseabold jseabold deleted the arima-order-0-0 branch Feb 7, 2014

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commented Feb 11, 2014

I think the IC situation should probably be re-considered someday - but in a different PR after discussion.

@jseabold jseabold referenced this pull request Apr 29, 2014

Open

IC in ARIMA #1645

PierreBdR pushed a commit to PierreBdR/statsmodels that referenced this pull request Sep 2, 2014

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