1. F

    Automatically make out-of-sample forecasts on SPSS

    Hi everyone! I'm a little stuck on a problem on SPSS and I really hope you might help me. For my master thesis I am trying to elaborate a statistical model for forecasting Consumer Confidence time series. The model I'm using now seems to work great in in-sample forecasts, but how can I know...
  2. S

    R code error for ETS

    Hi I use the following R codes for ETS forecasting in my Rexcel, but whenever the frequency of the data is high there is an error and the code do not run. Given below are my codes: #!rput library(forecast) zz <- ts(zz,freq=365,start=c(2009,1)) etsz <- ets(zz,model="ZZZ") etszP <-...
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    How to calculate ARIMA(1,0,1)

    Hello, I want to forecast the 101th data of a time series and my data is as follow 99) 0.96 100) -0.2495 101) ? and my model Coefficients: ar1 ma1 intercept 0.6769 -0.4255 0.0019 s.e. 0.1210 0.1505 0.0876 By using R I know answer is 0.084036 but I...
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    Assumptions for an ARIMA(p, d, q) model (Box-Jenkins)

    I have a data set which is stationary but the histogram looks like a logaritmic distribution. Is this a problem? Is normality an assumption to use this model? what should I do? Thanks
  5. J

    Interest Rates and ARIMA models

    Hello, My goal is to forecast t-bill/note interest rates to help determine whether it'd be useful to purchase an interest rate swap on a loan (25 year amort. due in 7 years). I have learned ARIMA models, specifically AR[1] models are useful to forecasting rates. Please see attached...
  6. T

    Simple Question. Prediction intervals in R.

    Hi, I'm using R and I've fitted a seasonal Arima model to a time series. I wish to compute a prediction for the next 12 values of the time series with 95% confidence interval. Can someone advise me what command to use? Also could someone point me to where I might find out the answers to similar...
  7. T

    Simple Question Seasonal Autoregressive Model

    Hi, I hope I'm posting this in an appropriate place. It's not exactly linear regression. If you have a seasonal moving average model like \displaystyle ARIMA(0,0,0)(0,0,1)_{12}, and you want to find the expectation of \displaystyle y_t, then you just use the fact that expectation is a linear...
  8. M

    time series

    Hi, just wondering whether someone can confirm how to do this properly, given a tabulated set of values of a time series for 4 quarters in each year 2004-2008, I've been asked to apply a centred 4 MA smoother to the time series and then construct the seasonally adjusted time series from this. I...
  9. M

    Time series beginner help urgent!!

    Hi, just looking for some help from anyone familiar with ARIMA modelling of time series. I am trying to get a stationary series from my data, I differenced the data and the following plots are of the time series and PACF of the differenced data:
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    Definitions of Time-Series Outliers

    I am using SPSS's Expert Modeler Option to Model a ARIMA model. I see that there is an option to have SPSS automatically detect various type of outliers. I get what the following outliers look like: Additive Level Shift Transient Seasonal Additive I think a Local trend outlier...