Questions tagged [armax]

ARIMA model with exogenous regressors.

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Are Regression with ARIMA(0,1,1) errors and ARMAX are same model?

I have a monthly dataset. When I applied auto.arima with seasonal dummies on it, I got the following result: ...
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How to compare two different models fitted on two different data sets with different predictors?

I have two ARMA models, fitted on two different time series, each of the model has its own predictors. My question is: Which of them is better? Comparition criterion is predictive performance. This ...
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Models with external regressors (when and how)

I am very new to time series forecasting, and (restricting myself to a few models that allow for covariates) I know that linear regression with ARMA errors, ARMAX, linear regression with GARCH errors ...
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PACF for ARMAX Model

How do I can get the PACF graph for one dependent variable, Y and 2 independent variables? do I have to calculate the covariance? the PACF output shows in R is only 2 variables only. There is a ...
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27 views

Intermittent Electricity Output - Causal Effects

I am working on modeling the electricity output of a single power plant. More specifically, I am trying to compute causal effects of a variable prop on output. My model would look something like this $...
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1answer
66 views

Time series: Vector AR(I)MA models with exogenous variables

I have taken a course based on the book "Introduction to Time Series and Forecasting" by Peter J. Brockwell and Richard A. Davis. I have learned about vector ARMA models, vector VAR models ...
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48 views

Time Series analysis ARIMA

I am trying to predict "daily_cases" using time series analysis. The time series plot looks like - The ACF plot of original series is given below- The above ACF plot suggests that trend is ...
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107 views

ARMAX stationarity - Do the exogenous variables need to be stationary too?

It concerns the ARMAX time series modelling. In order to have a stationary time series, does the exogoneous part need to be stationary too ? Or it does not have any influence ? Thank you all !
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"rugarch"-package: Inconsistent output of p-values and t-values

I am using the "rugarch"-package to estimate the impact of two exegonous variables on a commodity price. Now I found that the p-values and t-values seem to be very unrealistic in some cases. For ...
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46 views

Time Series, linear regression and ARMA

I have time dependent data, I used linear regression for trend and seasonality, for residuals I used an ARMA (p, q). Then I improved my regression by adding the adjusted values of the two models and ...
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57 views

ARMA(-X) model with exogenous covariates interpretation

Let us assume that $Y_t$ can be described with an ARMAX process, including an exogenous covariate $X_t$, of the following form: \begin{equation} log(Y_t)=\phi_1log(Y_{t-1})+\phi_{12}log(Y_{t-12})+\...
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1answer
46 views

RegARMA in state space representation

I am attempting to fit a state space regression model of the form: $Y_{t} = i^* + \beta_{1}Y_{t-1} + \beta_{2}X_{t} + \epsilon_{1,t}$ $i^* = i^*_{t-1} + \epsilon_{2,t}$ How could I represent the ...
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135 views

Regularize Regression with ARIMA errors in R

I am fitting regression with ARIMA errors in R. The xreg variables could be correlated with each other. Plus, I may be over-fitting my models. So, to handle both multicolinearity and over-fitting ...
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Can ARIMAX covariates be lagged?

I read that the ARIMAX is a composition of the Box-Jenkins approach and structural models. The X represents the structural part of the ARIMAX. Can the covariates in X be lagged, or are these meant to ...
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1answer
664 views

transfer function-noise modelling in R

I recently started to learn transfer-function model, which, more specifically, is transfer-function-noise model(TFN). I have also attempted modeling it in R. I found one thing that is baffling. ...
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3k views

Fit an ARMAX model in R

I would like to fit an ARMAX model in R of the form that is mostly used in literature: $$y_t = \beta_1 x_t+\cdots+ \beta_{k} x_{t_{k-1}}+ \phi_1 y_{t-1}+\cdots+\phi_p y_{t-p}+ \theta_1 z_{t-1}+\cdots ...
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1answer
113 views

How to add knots to auto.arima() regressors?

I am using forecast package in R by Rob Hyndman. I am using the auto.arima() function and I have various regressors. One of my regressors is temperature values, ...
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1answer
1k views

Why auto.arima does not differentiate when there is xreg?

Simulated data: ...
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43 views

Compare how one time series affects another and which tests are needed?

Context According to Becker (1968) and Elrich (1996) criminality study, the entrance of low income refugees with relatively lower scholarity than UK population would increase crime in the region. The ...
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6k views

What is the difference between VAR, Dynamic Regressive, and ARMAX models?

All of these models seem to be used in predicting an endogenous time series variable, using several lagged exogenous time series variables. If it is so, how do we decide when to use which?
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2k views

ARMAX or Dynamic Regression | regression of multiple timeseries

I have the following time series dataset (dependent | independent) : Sales | Income,Inflation, Interest Rates etc All of this is dynamic data pertaining to each ...
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209 views

Detailed reference to facilitate manual implementation of ARIMAX

ARIMAX is implemented in SAS and R (function arimax in "TSA" package). I want to implement ARIMAX in an open source library in Scala and Python. Is there any ...
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169 views

Does ARMAX solve the autocorrelated errors and avoid spurious regression?

I have a OLS model looks like this: However, the residuals have auto-correlation like this: It doesn't seem a strong autocorrelation, and the model passes the Engle-Granger cointegration test (...
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1answer
531 views

Is it valid to use an ARMAX model for TV Attribution?

Suppose I have a website which has some baseline hourly traffic. I also run TV advertising intermittently which drives up my web traffic. I want to determine how much effect my TV advertising is ...
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1answer
75 views

Unusual use of time series: getting xreg from a given forecast value

I recently fit an ARIMA model for some daily sales data. To account for seasonality I used various dummies in xreg for different days in the month, days in the week,...
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2answers
131 views

Modelling effect of advertisement on sales with ARMAX

I am trying to model the effect of advertisement on sales in Stata. The data is weekly and there are around 150 observations. I started by applying an ARMAX(1,0,1) model with the following exogenous ...
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2answers
325 views

How to interpret effect of log-inventory on log-price?

I have an autoregressive model that explains house prices. The dependent variable is the log of the house prices, in which the house prices are an index number (lprice) The independent variables are ...
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3answers
2k views

Estimate the best ARMAX model with one lagged independent variable (time series)?

I have two time series to work with, let's say $X_1$ and $X_2$. First I have to estimate the best pure ARMA model for $X_1$; which is no problem. For that I perform the following steps: Stationarize ...
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1answer
1k views

fourier terms for double seasonality in R [closed]

I am performing a time series analysis on a daily time series. I know that there is a weekly period (7 days) and also a montly seasonality. For now, i set the time series object in R using a ...