ARMA model order selection using arma_order_select_ic from statsmodel

Question

I am using the arma_order_select_ic from the statsmodel library to calculate the (p,q) order for the ARMA model, I am using for loop to loop over the different companies that are in each column of the data-frame. The code is as follows:

import pandas as pd
from statsmodels.tsa.stattools import arma_order_select_ic

df = pd.read_csv("Adjusted_Log_Returns.csv", index_col = 'Date').dropna()

main_df = pd.DataFrame()


for i in range(146):
    order_selection = arma_order_select_ic(df.iloc[i].values, max_ar = 4, 
    max_ma = 2, ic = "aic")
    ticker = [df.columns[i]]

    df_aic_min = pd.DataFrame([order_selection["aic_min_order"]], index = 
    ticker)

main_df = main_df.append(df_aic_min)


main_df.to_csv("aic_min_orders.csv")

The code runs fine and I get all the results in the csv file at the end but the thing thats confusing me is that when I compute the (p,q) outside the for loop for a single company then I get different results

order_selection = arma_order_select_ic(df["ABL"].values, max_ar = 4, 
max_ma = 2, ic = "aic")

The order for the company ABL is (1,1) when computed in the for loop while its (4,1) when computed outside of it.

So my question is what am I doing wrong or why is it like this? Any help would be appreciated.

Thanks in Advance

Answer 1

It's pretty clear from your code that you're trying to find the parameters for an ARMA model on the columns' data, but it's not what the code is doing: you're finding in the loop the parameters for the rows.

Consider this:

import pandas as pd

df = pd.DataFrame({'a': [3, 4]})

>>> df.iloc[0]
a    3
Name: 0, dtype: int64

>>> df['a']
0    3
1    4
Name: a, dtype: int64

You should probably change your code to

for c in df.columns:
    order_selection = arma_order_select_ic(df[c].values, max_ar = 4, 
    max_ma = 2, ic = "aic")
    ticker = [c]