# Selecting between two ARIMA models

I have a monhtly data set taken from datamarket. I have applied two different ARIMA models with different periods in R. The estimation results are reported below.

Model 1:

ARIMA(3,1,1)(0,1,1)[35]

Coefficients:
ar1     ar2     ar3      ma1     sma1
0.5363  0.0365  0.0545  -0.9199  -0.8472
s.e.  0.0903  0.0787  0.0754   0.0614   0.1530

sigma^2 estimated as 874694:  log likelihood=-1959.58
AIC=3931.17   AICc=3931.53   BIC=3951.92
ME     RMSE      MAE       MPE     MAPE      MASE        ACF1
Training set 6.818351 861.6035 445.7387 -3.906734 13.14426 0.5771561 0.004052349


Model 2:

ARIMA(3,1,1)(1,1,1)[23]

Coefficients:
ar1     ar2     ar3     ma1    sar1     sma1
0.5161  0.1210  0.0326  -0.937  0.0515  -0.9359
s.e.  0.0832  0.0757  0.0741   0.057  0.0956   0.2221

sigma^2 estimated as 820158:  log likelihood=-2049.93
AIC=4113.85   AICc=4114.32   BIC=4138.42
ME     RMSE      MAE       MPE     MAPE     MASE         ACF1
Training set 12.01683 854.0288 456.0118 -3.864165 13.66146 0.590458 0.0005883881


With these results, I am having trouble to choose one of them. One of them has better RMSE but the other one has better MAE and MAPE.
How should I interpret these results and which one should be chosen for better forecasts?

• Post your data. – Tom Reilly Aug 16 '16 at 14:44