TRANSFERFUNCTION Subcommand (TSMODEL command)

The TRANSFERFUNCTION subcommand specifies a transfer function and transformations for predictor variables in an ARIMA model.

  • By default, for each predictor in an ARIMA model, the numerator and denominator orders of the transfer function (both seasonal and nonseasonal) are set to zero. The predictors are neither transformed nor differenced by default.
  • The TRANSFERFUNCTION subcommand may be used more than once in a MODEL block to specify different transfer functions and/or transformations for different independent variables.
  • If there are multiple TRANSFERFUNCTION subcommands that refer to the same predictor variable within a MODEL block, the last set of specifications is honored for that variable.
  • The TRANSFERFUNCTION subcommand is ignored if the EXPERTMODELER or EXSMOOTH subcommand is used.

Example

TSMODEL
  /MODEL DEPENDENT=revenue INDEPENDENT=adspending
  /ARIMA AR=[1] MA=[0]
  /TRANSFERFUNCTION VARIABLES=adspending NUM=[1] DENOM=[1].
  • A custom ARIMA(1,0,0) model is specified and includes the independent variable adspending.
  • The TRANSFERFUNCTION subcommand specifies that adspending is to be modeled with numerator and denominator lags of order 1.

VARIABLES Keyword

The VARIABLES keyword is used to specify a list of predictors.

  • Repeated instances of the same variable are filtered out of the list.
  • Variables that have not been specified as independent (with the INDEPENDENT keyword) in the preceding MODEL subcommand are ignored.
  • Use ALL to specify all independent variables. This setting is the default.

NUM Keyword

The NUM keyword specifies the numerator order of the transfer function for nonseasonal models.

  • 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.
  • The model always includes an implicit zero, even if not specified via the NUM keyword.
  • 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.

NUMSEASONAL Keyword

The NUMSEASONAL keyword specifies the numerator order of the transfer function for seasonal models.

  • 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 NUMSEASONAL specifies a nonzero value and the season length has not been defined via the DATE command or the SEASONLENGTH keyword.

DENOM Keyword

The DENOM keyword specifies the denominator order of the transfer function for nonseasonal models.

  • 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.

DENOMSEASONAL Keyword

The DENOMSEASONAL keyword specifies the denominator order of the transfer function for seasonal models.

  • 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 DENOMSEASONAL specifies a nonzero value and the season length has not been defined via the DATE command or the SEASONLENGTH keyword.

TRANSFORM Keyword

The TRANSFORM keyword specifies a transformation that is performed on all predictor variables. By default, predictor variables are not transformed.

NONE. Predictor variables 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 for predictor variables.

  • 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 for predictor variables.

  • The order of seasonal differencing must be a nonnegative integer. The default order is zero.
  • DIFFSEASONAL generates an error if the season length has not been defined via the DATE command or the SEASONLENGTH keyword.

DELAY Keyword

The DELAY keyword specifies the delay order for predictor variables.

  • The delay order must be a nonnegative integer. The default order is zero.