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I would like to know the variance explained by my ARIMA model. Is there something analogous to the adjusted $R^2$ in multiple regression that I can use to asses explained variance of my ARIMA model?

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You can use adjusted $R^2$ in ARIMA just as you would in a linear regression for cross-sectional data. The interpretation does not change. The same holds true for $R^2$.

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  • $\begingroup$ Thanks. I was able to apply this and get exactly what I was looking for. $\endgroup$ – Alex Nov 3 '17 at 13:57

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