I am working with a seasonal time series, which is initially stationary. After many attempts, the best model that fits the data is an ARIMA(0,1,4)(0,1,1)[12]. However, checking for the stationarity of the seasonally differenced and differenced data, results in non-stationarity. Does this make the model invalid ?

  • $\begingroup$ Can you post some plots and/or outputs of your model? $\endgroup$ – user2974951 Jul 15 '19 at 7:13
  • $\begingroup$ your model is probably bad for a number of possible reasons including but not limited to the following 1) pulses in your data 2) level/step shifts in your data 3) local time trends in your data 4) seasonal pulses in your data 5) model parameters changing over time 6) model error variance changing over time ..... 7 tc etc etc .. Post your data ( in a csv file not a pix ) and I will try and help you further, $\endgroup$ – IrishStat Jul 20 '19 at 13:19

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.