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I am trying to fit an ARIMA model on the time series of exchange rate. I have tried several kinds of ARIMA specifications (MA(1), MA(1,2), ...) and I am evaluating the particular setting according to the PACF and ACF functions, the Q-test for residuals, and finally I wanted to take a look at the information criteria AIC and BIC. However, if I run the Stata postestimation command estat ic I always get the same result with undefined (.) value of the log-likelihood for the null model, which seems a bit suspicious.

So am I doing something wrong?

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  • $\begingroup$ What is the null model supposed to mean? $\endgroup$ – Richard Hardy Mar 23 '15 at 15:55
  • $\begingroup$ It is the model which contains only intercept $\endgroup$ – m3d1v0 Mar 23 '15 at 15:56
  • $\begingroup$ Could that happen because the model with only the intercept is estimated not via maximum likelihood but, for example, via OLS so that the likelihood is not calculated during the estimation? Just guessing. $\endgroup$ – Richard Hardy Mar 23 '15 at 16:01

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