ARIMA Subcommand (TSMODEL command)

The ARIMA subcommand controls options for custom ARIMA models. The model must contain at least one parameter. An error occurs if the model has no autoregressive component, moving average component, outlier, or constant term, unless independent variables are selected.

Example: Basic Custom Seasonal ARIMA Model

TSMODEL
  /AUXILIARY SEASONLENGTH=12
  /MODEL DEPENDENT=passengers
  /ARIMA AR=[0] ARSEASONAL=[0] MA=[1] MASEASONAL=[1]
         DIFF=1 DIFFSEASONAL=1 TRANSFORM=LN.
  • A custom ARIMA(0,1,1)(0,1,1) model is specified, including a natural log transformation of the dependent variable. The seasonal length is 12.

Example: Including Specific Lags in a Custom ARIMA Model

TSMODEL
  /MODEL DEPENDENT=revenue
  /ARIMA AR=0 MA=[1 3].
  • A moving average model is specified. Moving average lags of orders 1 and 3 are included.

AR Keyword

The AR keyword specifies the nonseasonal autoregressive order of the model and is required.

  • You can specify a single value or a list of values in square brackets. All values must be nonnegative integers.
  • If you specify a single value, square brackets are optional. The specified lag will be included in the model.
  • If you specify a list of positive integer values--for example, [1 3]--the specified lags are included in the model. Duplicate lags are ignored.

ARSEASONAL Keyword

The ARSEASONAL keyword specifies the seasonal autoregressive order of the model.

  • You can specify a single value or a list of values in square brackets. All values must be nonnegative integers. The default order is zero.
    • If you specify a single value, square brackets are optional. The specified lag will be included in the model.
    • If you specify a list of positive integer values--for example, [1 3]--the specified lags are included in the model. Duplicate lags are ignored.
  • An error occurs if ARSEASONAL specifies a nonzero value and the season length has not been defined via the DATE command or the SEASONLENGTH keyword.

MA Keyword

The MA keyword specifies the nonseasonal moving average order of the model and is required.

  • You can specify a single value or a list of values in square brackets. All values must be nonnegative integers.
  • If you specify a single value, square brackets are optional. The specified lag will be included in the model.
  • If you specify a list of positive integer values--for example, [1 3]--the specified lags are included in the model. Duplicate lags are ignored.

MASEASONAL Keyword

The MASEASONAL keyword specifies the seasonal moving average order of the model.

  • You can specify a single value or a list of values in square brackets. All values must be nonnegative integers. The default order is zero.
    • If you specify a single value, square brackets are optional. The specified lag will be included in the model.
    • If you specify a list of positive integer values--for example, [1 3]--the specified lags are included in the model. Duplicate lags are ignored.
  • An error occurs if MASEASONAL specifies a nonzero value and the season length has not been defined via the DATE command or the SEASONLENGTH keyword.

CONSTANT Keyword

The CONSTANT keyword controls whether the model for each dependent variable includes a constant term.

YES. The model includes a constant term. This setting is the default.

NO. No constant term is included in the model.

TRANSFORM Keyword

The TRANSFORM keyword specifies a transformation that is performed on each dependent variable before it is modeled. By default, the variables are not transformed.

NONE. Dependent-variable series are not transformed. This setting is the default.

SQRT. A square root transformation is performed.

LN. A natural log transformation is performed.

DIFF Keyword

The DIFF keyword specifies the order of nonseasonal differencing.

  • The order of nonseasonal differencing must be a nonnegative integer. The default order is zero.

DIFFSEASONAL Keyword

The DIFFSEASONAL keyword specifies the order of seasonal differencing.

  • The order of seasonal differencing must be a nonnegative integer. The default order is zero.
  • An error occurs if DIFFSEASONAL specifies a nonzero value and the season length has not been defined via the DATE command or the SEASONLENGTH keyword.