# Select your ARIMA parameters on training set only?

I have a time series of 61 monthly observations and I would like to build an ARIMA forecasting model. To test my model, I separated my data into a training set of the 51 first observations, and a test set with the remaining 10.

Now my question is, when I am plotting the ACF and PACF to get an idea of the appropriate p and q parameters I should use in my model, should I plot the ACF and PACF only on my training set? Knowing that my ARIMA will be applied on the training set to forecast 10 future values, that I will compare to the observed ones in my test set.

• Just from an intuitive point I would use 12 months (1 year) instead of 10 months as test set. Than you display an entire year with seasonalities. – Ferdi Nov 21 '17 at 20:46

• Why would you recommend not splitting in the middle of a year? library(forecast); plot(forecast(auto.arima(AirPassengers[1:138]),h=18))  makes perfect sense. After all, years are cyclical, and when the year starts is just a convention. – Stephan Kolassa Nov 21 '17 at 20:15