Custom ARIMA Models

The Time Series Modeler allows you to build custom nonseasonal or seasonal ARIMA (Autoregressive Integrated Moving Average) models--also known as Box-Jenkins 1 models--with or without a fixed set of predictor variables. You can define transfer functions for any or all of the predictor variables, and specify automatic detection of outliers, or specify an explicit set of outliers.

  • All independent (predictor) variables specified on the Variables tab are explicitly included in the model. This is in contrast to using the Expert Modeler where independent variables are only included if they have a statistically significant relationship with the dependent variable.
1 Box, G. E. P., G. M. Jenkins, and G. C. Reinsel. 1994. Time series analysis: Forecasting and control, 3rd ed. Englewood Cliffs, N.J.: Prentice Hall.