Example: SARIMAX: Introduction

SARIMAX: Introduction

This notebook replicates examples from the Stata ARIMA time series estimation and postestimation documentation.

First, we replicate the four estimation examples http://www.stata.com/manuals13/tsarima.pdf:

1. ARIMA(1,1,1) model on the U.S. Wholesale Price Index (WPI) dataset.
2. Variation of example 1 which adds an MA(4) term to the ARIMA(1,1,1) specification to allow for an additive seasonal effect.
3. ARIMA(2,1,0) x (1,1,0,12) model of monthly airline data. This example allows a multiplicative seasonal effect.
4. ARMA(1,1) model with exogenous regressors; describes consumption as an autoregressive process on which also the money supply is assumed to be an explanatory variable.

Second, we demonstrate postestimation capabilitites to replicate 登录查看完整内容