MODEL Subcommand (ARIMA command)

MODEL specifies the ARIMA model, period length, whether a constant term should be included in the model, and whether the series should be log transformed.

  • The model parameters are listed using the traditional ARIMA (p,d,q) (sp,sd,sq) syntax.
  • Nonseasonal parameters are specified with the appropriate p, d, and q values separated by commas and enclosed in parentheses.
  • The value p is a positive integer indicating the order of nonseasonal autoregressive parameters, d is a positive integer indicating the degree of nonseasonal differencing, and q is a positive integer indicating the nonseasonal moving-average order.
  • Seasonal parameters are specified after the nonseasonal parameters with the appropriate sp, sd, and sq values. They are also separated by commas and enclosed in parentheses.
  • The value sp is a positive integer indicating the order of seasonal autoregressive parameters, sd is a positive integer indicating the degree of seasonal differencing, and sq is a positive integer indicating the seasonal moving-average order.
  • After the seasonal model parameters, a positive integer can be specified to indicate the length of a seasonal period.
  • If the period length is not specified, the periodicity established on TSET PERIOD is in effect. If TSET PERIOD is not specified, the periodicity established on the DATE command is used. If periodicity was not established anywhere and a seasonal model is specified, the ARIMA procedure is not executed.

The following optional keywords can be specified on MODEL:

CONSTANT. Include a constant in the model. This is the default unless the default setting on the TSET command is changed prior to the ARIMA procedure.

NOCONSTANT . Do not include a constant.

NOLOG. Do not log transform the series. This is the default.

LG10. Log transform the series before estimation using the base 10 logarithm. The keyword LOG is an alias for LG10.

LN. Log transform the series before estimation using the natural logarithm (base e).

  • Keywords can be specified anywhere on the MODEL subcommand.
  • CONSTANT and NOCONSTANT are mutually exclusive. If both are specified, only the last one is executed.
  • LG10 (LOG), LN, and NOLOG are mutually exclusive. If more than one is specified, only the last one is executed.
  • CONSTANT and NOLOG are generally used as part of an APPLY subcommand to turn off previous NOCONSTANT, LG10, or LN specifications

Example

ARIMA SALES WITH INTERVEN
  /MODEL=(1,1,1)(1,1,1) 12 NOCONSTANT LN.
  • This example specifies a model with a first-order nonseasonal autoregressive parameter, one degree of nonseasonal differencing, a first-order nonseasonal moving average, a first-order seasonal autoregressive parameter, one degree of seasonal differencing, and a first-order seasonal moving average.
  • The 12 indicates that the length of the period for SALES is 12.
  • The keywords NOCONSTANT and LN indicate that a constant is not included in the model and that the series is log transformed using the natural logarithm before estimation.